volatility process of the innovations of the panel time series into account. Nonstationarity volatility arises for instance when … unit roots that is, unlike many previously suggested tests, robust to such volatility processes. The panel test is based on … from sometimes severe size distortions in the presence of nonstationary volatility, and that this defect can be remedied …

volatility process of the innovations of the panel time series into account. Nonstationarity volatility arises for instance when … unit roots that is, unlike many previously suggested tests, robust to such volatility processes. The panel test is based on … Tests for Models with Non-Stationary Volatility"]. The panel test is robust to general patterns of cross …

estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or …This paper considers forecast averaging when the same model is used but estimation is carried out over different … more structural breaks. It is shown that compared to using forecasts based on a single estimation window, averaging over …

estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or …This paper considers forecast averaging when the same model is used but estimation is carried out over different … more structural breaks. It is shown that compared to using forecasts based on a single estimation window, averaging over …