We introduce a flexible nonparametric technique that can be used to select weights in a forecast-combining regression. We perform a Monte Carlo study that evaluates the p[...]

This paper describes a new test for evaluating conditional density functions that remains valid when the data are time-dependent and that is therefore applicable to forec[...]

This paper presents a new test for evaluating conditional density functions for time-series data, thereby being applicable to forecasting problems. We show that the test [...]

We propose a new test for a multivariate parametric conditional distribution of a vector of variables yt given a conditional vector xt. The proposed test is shown to have[...]

We propose a new test for a multivariate parametric conditional distribution of a vector of variables yt given a conditional vector xt. The proposed test is shown to have[...]

Historical narratives typically associate financial crises with credit expansions and asset price misalignments. The question is whether some combination of measures of c[...]

Since the advent of standard national accounts data over 60 years ago, economists have traditionally relied on monthly or quarterly data supplied by central statistical a[...]

This paper tests the hypothesis that movements in the prime rate are dependent upon the interest rate regime. We find that the responsiveness of prime to changes in the F[...]

The debate on the order of integration of interest rates has long focused on the I(1) versus I(0) distinction. In this paper we instead use the wavelet OLS estimator of J[...]

The debate on the order of integration of interest rates has long focused on the I(1) versus I(0) distinction. In this paper, we use instead the wavelet OLS estimator of [...]