This paper employs a parametric model of persistent (level) shifts in the conditional mean of stock market returns which are endogenously driven by large positive or negative return shocks. These shocks can be taken to reflect important market announcements, monetary policy regime changes and/or...

Unemployment, firm Dynamics, and the Business CyclTime variation is a fundamental problem in statistical and econometric analysis of macroeconomic and financial data. Recently there has been considerable focus on developing econometric modelling that enables stochastic structural change in model...

Model selection and estimation are important topics in econometric analysis which can become considerably complicated in high dimensional settings, where the set of possible regressors can become larger than the set of available observations. For large scale problems the penalized regression...

In the aftermath of the recent financial crisis there has been considerable focus on methods for predicting macroeconomic variables when their behavior is subject to abrupt changes, associated for example with crisis periods. In this paper we propose similarity based approaches as a way to...

Unemployment, firm Dynamics, and the Business CyclTime variation is a fundamental problem in statistical and econometric analysis of macroeconomic and financial data. Recently there has been considerable focus on developing econometric modelling that enables stochastic structural change in model...