We consider the problem of making inference for the autocorrelations of a time series in the possible presence of a unit root. Even when the underlying series is assumed to be strictly stationary, the robustness against a unit root is a desirable property to ensure good finite-sample coverage in...

The problem of prediction is revisited with a view towards going beyond the typical nonparametric setting and reaching a fully model-free environment for predictive inference, i.e., point predictors and predictive intervals. A basic principle of model-free prediction is laid out based on the...