This paper proposes a monitoring cumulative sum of squares (CUSQ)-type test for structural breaks in real time via an autoregressive (AR) approximation framework where data generating process (DGP) is a long memory process. The limiting distribution of the monitoring test follows a Brownian...

Traditional methods of estimating kilowatt end uses load profiles may face very serious multicollinearity issues. In this article, a Bayesian framework is proposed to combine end uses monitoring information with the aggregate-load/appliance data to allow load researchers to derive more accurate...

This paper provides a review of linear panel data models with slope heterogeneity, introduces various types of random coe.cients models and suggest a common framework for dealing with them. It considers the fundamental issues of statistical inference of a random coe.cients formulation using both...

This study examines the long-run price relationship and the dynamic price transmission among the U.S., Germany, and four major Eastern European emerging stock markets, with particular attention to the impact of the 1998 Russian financial crisis. The results show that both the long-run price...

We use Japanese aggregate and disaggregate money demand data to show that conflicting inferences can arise. The aggregate data appears to support the contention that there was no stable money demand function. The disaggregate data shows that there was a stable money demand function. Neither was...

This paper considers estimation and inference in panel vector autoregressions (PVARs) with fixed effects when the time dimension is finite and the cross-sectional dimension is large. A Maximum Likelihood (ML) estimator based on a transformed likelihood function is proposed and shown to be...