We introduce a nonlinear semi-parametric model that allows for the robust filtering of a common stochastic trend in a multivariate system of cointegrated time series. The observation-driven stochastic trend can be specified using flexible updating mechanisms. The model provides a general...

We introduce a nonlinear semi-parametric model that allows for the robust filtering of a common stochastic trend in a multivariate system of cointegrated time series. The observation-driven stochastic trend can be specified using flexible updating mechanisms. The model provides a general...

The bootstrap is a convenient tool for calculating standard errors of the parameter estimates of complicated econometric models. Unfortunately, the bootstrap can be very time-consuming. In a recent paper, Honoré and Hu (2017), we propose a "Poor (Wo)man's Bootstrap" based on one-dimensional...

The bootstrap is a convenient tool for calculating standard errors of the parameter estimates of complicated econometric models. Unfortunately, the bootstrap can be very time-consuming. In a recent paper, Honoré and Hu (2017), we propose a "Poor (Wo)man's Bootstrap" based on one-dimensional...