We present the asymptotic properties of double-stage quantile regressionestimators with random regressors, where the first stage is based on quantile regressionswith the same quantile as in the second stage, which ensures robustness of the estimationprocedure. We derive invariance properties...

The Hodrick-Prescott …lter is often applied to economic series as part of thestudy of business cycles. Its properties have most frequently been exploredthrough the development of essentially asymptotic results which are practicallyrelevant only some distance from series endpoints. Our concern...

In this paper we consider the situation where the deterministiccomponents of the processes generating individual series are linear trendsand the individual series are independent I(0) or I(1) processes. We showthat when those time series are used in ordinary least squares regression,the...

We consider the possibility of estimating a Dickey-Fuller regression, constraining the autoregressive parameter to be at most one, and imposing prior knowledge of the sign of the drift parameter. ...

We explore the extension of James-Stein type estimators in a direction that enables them topreserve their superiority when the sample size goes to infinity. Instead of shrinking a base estimatortowards a fixed point, we shrink it towards a data-dependent point. We provide an analytic expression...