We introduce a new estimator, the simultaneous multiscale change point estimator SMUCE,
for the change point problem in exponential family regression. An unknown step function is …

This paper develops a frequentist model averaging approach for threshold model
specifications. The resulting estimator is proved to be asymptotically optimal in the sense of …

Abstract We propose a Least Absolute Shrinkage and Selection Operator (LASSO) estimator
of a predictive regression in which stock returns are conditioned on a large set of lagged …

We examine the asymptotic properties of local M-estimators under three sets of high-level
conditions. These conditions are sufficiently general to cover the minimum volume predictive …

Rather than relying on a potentially poor point estimate of a coefficient break date when
forecasting, this paper proposes averaging forecasts over sub-samples indicated by a …

The threshold autoregressive (TAR) model has received considerable attention in nonlinear
time series literature. To weaken the impacts coming from model uncertainty and to improve …

The boundaries of a firm, particularly those of manufacturers that import heavy-duty Class 8
trucks and tractors into the Chilean automotive market, depend on economizing transaction …

When forecasting with economic time series data, researchers often use a restricted window
of observations or downweight past observations in order to mitigate the potential effects of …

The asymptotic behavior of GMM estimators depends critically on whether the underlying
moment condition model is correctly specified. Hong and Li (2023, Econometric Theory) …

La investigación tiene por objetivo determinar de qué manera el uso de las herramientas
del Bussines Analytics en una etapa temprana de las MYPES peruanas es beneficiosa para …