In ESTAR models it is usually difficult to determine parameter estimates, as it can be observed in the literature. We show that the phenomena of getting strongly biased estimators is a consequence of the so-called identification problem, the problem of properly distinguishing the transition...

In cointegration analysis, it is customary to test the hypothesis of unit roots separately for each single time series. In this note, we point out that this procedure may imply large size distortion of the unit root tests if the DGP is a VAR. It is well-known that univariate models implied by a...

This paper studies the robust estimation and inference of threshold models with integrated regres- sors. We derive the asymptotic distribution of the profiled least squares (LS) estimator under the diminishing threshold effect assumption that the size of the threshold effect converges to zero....

In this paper, the Consumer Price Index (CPI) of India is tested on whether it is generated from a stationary process for the purpose of which, a set of time series data on CPI with 4,420 observation arranged on daily basis from November 10, 2003 to December 16, 2015 is retrieved from the...

Numerous tests designed to detect realized jumps over a fixed time span have been proposed and extensively studied in the financial econometrics literature. These tests differ from “long time span tests” that detect jumps by examining the magnitude of the jump intensity parameter in the data...

I propose a test of symmetry for a stationary time series based on the difference between the dispersion above the central tendency of the series with that below it. The test has many attractive features: it is applicable to dependent processes, it has a familiar form, it can be implemented...

In this paper we define a family of tests for the Martingale Difference Hypothesis (MDH) based upon a shrinkage principle. Tests within this family are such that rejection of the null implies that forecasts from the alternative model, adjusted by a shrinkage factor, will display lower Mean...

We consider a particular concept of accuracy of predictions, and we develop a class of non-parametric, spectral density tests capable of deciding whether a given random variable can predict a time series. Under standard assumptions, we show that those tests are consistent, robust and admissible....