This paper extends previous results on the equality of OLS and GLS. We give conditions under which GLS based on two different variance matrices gives the same estimate, and also conditions under which GLS equals a GMM estimator.

Estimating natural rate of unemployment (NAIRU) is important for understanding the joint dynamics of unemployment, in ation, and in Nation expectation. However, existing literature falls short in endogenizing inflation expectation together with NAIRU in a model consistent way. We develop and...

We consider the problem of estimating the conditional quantile of a time series fYtg at time t given covariates Xt, where Xt can ei- ther exogenous variables or lagged variables of Yt . The conditional quantile is estimated by inverting a kernel estimate of the conditional distribution function,...

This study considers the theoretical bootstrap “coupling” techniques for nonparametric robust smoothers and quantile regression, and we verify the bootstrap improvement. To handle the curse of dimensionality, a variant of “coupling” bootstrap techniques is developed for additive models...

We propose a semiparametric measure to estimate systemic interconnectedness across financial institutions based on tail-driven spill-over effects in a ultra-high dimensional framework. Methodologically, we employ a variable selection technique in a time series setting in the context of a...

We consider the problem of estimating the conditional quantile of a time series <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$$\{ Y_t\}$$</EquationSource> <EquationSource Format="MATHML"> <math xmlns:xlink="http://www.w3.org/1999/xlink"> <mrow> <mo stretchy="false">{</mo> <msub> <mi>Y</mi> <mi>t</mi> </msub> <mo stretchy="false">}</mo> </mrow> </math> </EquationSource> </InlineEquation> at time <InlineEquation ID="IEq2"> <EquationSource Format="TEX">$$t$$</EquationSource> <EquationSource Format="MATHML"> <math xmlns:xlink="http://www.w3.org/1999/xlink"> <mi>t</mi> </math> </EquationSource> </InlineEquation> given covariates <InlineEquation ID="IEq3"> <EquationSource Format="TEX">$$\varvec{X}_{t}$$</EquationSource> <EquationSource Format="MATHML"> <math xmlns:xlink="http://www.w3.org/1999/xlink"> <msub> <mrow> <mi mathvariant="bold-italic">X</mi> </mrow> <mi>t</mi> </msub> </math> </EquationSource> </InlineEquation>, where <InlineEquation ID="IEq4"> <EquationSource Format="TEX">$$\varvec{X}_{t}$$</EquationSource> <EquationSource Format="MATHML"> <math xmlns:xlink="http://www.w3.org/1999/xlink"> <msub> <mrow> <mi mathvariant="bold-italic">X</mi> </mrow> <mi>t</mi> </msub> </math> </EquationSource> </InlineEquation> can be either exogenous variables or lagged variables of <InlineEquation ID="IEq5"> <EquationSource Format="TEX">$${ Y_t}$$</EquationSource> <EquationSource Format="MATHML"> <math xmlns:xlink="http://www.w3.org/1999/xlink"> <msub> <mi>Y</mi>...</msub></math></equationsource></equationsource></inlineequation></equationsource></equationsource></inlineequation></equationsource></equationsource></inlineequation></equationsource></equationsource></inlineequation></equationsource></equationsource></inlineequation>

We consider theoretical bootstrap \coupling" techniques for nonparametric robust smoothers and quantile regression, and verify the bootstrap improvement. To cope with curse of dimensionality, a variant of \coupling" bootstrap techniques are developed for additive models with both symmetric error...

It is an undisputed fact that weather risk increases over time due to climate change. However, qualification of this statement with regard to the type of weather risk and geographical location is needed. We investigate the application of novel statistical tools for assessing changes in weather...