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INTEREST CATEGORY: MARKETING RESEARCH
POSTING TYPE: TOCs

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Annals Issue: PI Day

Edited by Serena Ng, Zhongjun Qu, Timothy J. Vogelsang

Annals Issue: PI-Day Honoring Pierre Perron
—Serena Ng, Zhongjun Qu, Timothy Vogelsang []

Continuous record Laplace-based inference about the break date in structural change models
—Alessandro Casini, Pierre Perron []

Statistical tests of a simple energy balance equation in a synthetic model of cotrending and cointegration
—Josep Lluís Carrion-i-Silvestre, Dukpa Kim []

Inference after estimation of breaks
—Isaiah Andrews, Toru Kitagawa, Adam McCloskey []

Boosting high dimensional predictive regressions with time varying parameters
—Kashif Yousuf, Serena Ng []

Sieve estimation of option-implied state price density
—Junwen Lu, Zhongjun Qu []

Inference in time series models using smoothed-clustered standard errors
—Seunghwa Rho, Timothy J. Vogelsang []

Dynamic spatial panel data models with common shocks
—Jushan Bai, Kunpeng Li []

Bootstrapping non-stationary stochastic volatility
—H. Peter Boswijk, Giuseppe Cavaliere, Iliyan Georgiev, Anders Rahbek []

Simple estimators and inference for higher-order stochastic volatility models
—Md. Nazmul Ahsan, Jean-Marie Dufour []

Simple tests for stock return predictability with good size and power properties
—David I. Harvey, Stephen J. Leybourne, A.M. Robert Taylor []

Consistent inference for predictive regressions in persistent economic systems
—Torben G. Andersen, Rasmus T. Varneskov []