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Theory of Low Frequency Contamination from Nonstationarity and Misspecification: Consequences for HAR Inference. (2021). Perron, Pierre ; Deng, Taosong ; Casini, Alessandro.
In: Papers.
RePEc:arx:papers:2103.01604.

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Cited: 10

Citations received by this document

Cites: 73

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Cocites: 50

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  1. Optimal forecasts in the presence of discrete structural breaks under long memory. (2023). Sibbertsen, Philipp ; Mboya, Mwasi Paza.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:42:y:2023:i:7:p:1889-1908.

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  2. Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models. (2023). Casini, Alessandro.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:235:y:2023:i:2:p:372-392.

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  3. Optimal Forecasts in the Presence of Discrete Structural Breaks under Long Memory. (2022). Sibbertsen, Philipp ; Mboya, Mwasi.
    In: Hannover Economic Papers (HEP).
    RePEc:han:dpaper:dp-705.

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  4. .

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  5. The Fixed-b Limiting Distribution and the ERP of HAR Tests Under Nonstationarity. (2021). Casini, Alessandro.
    In: Papers.
    RePEc:arx:papers:2111.14590.

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  6. Change-Point Analysis of Time Series with Evolutionary Spectra. (2021). Perron, Pierre ; Casini, Alessandro.
    In: Papers.
    RePEc:arx:papers:2106.02031.

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  7. Theory of Evolutionary Spectra for Heteroskedasticity and Autocorrelation Robust Inference in Possibly Misspecified and Nonstationary Models. (2021). Casini, Alessandro.
    In: Papers.
    RePEc:arx:papers:2103.02981.

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  8. Minimax MSE Bounds and Nonlinear VAR Prewhitening for Long-Run Variance Estimation Under Nonstationarity. (2021). Perron, Pierre ; Casini, Alessandro.
    In: Papers.
    RePEc:arx:papers:2103.02235.

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  9. Simultaneous Bandwidths Determination for DK-HAC Estimators and Long-Run Variance Estimation in Nonparametric Settings. (2021). Perron, Pierre ; Grassi, Stefano ; Catania, Leopoldo ; Casini, Alessandro ; Belotti, Federico.
    In: Papers.
    RePEc:arx:papers:2103.00060.

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    In: Working Papers.
    RePEc:cfr:cefirw:w0071.

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  39. The Limit Distribution of the Estimates in Cointegrated Regression Models with Multiple Structural Changes. (2006). Perron, Pierre ; Kejriwal, Mohitosh.
    In: Boston University - Department of Economics - Working Papers Series.
    RePEc:bos:wpaper:wp2006-064.

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  40. DECIDING BETWEEN GARCH AND STOCHASTIC VOLATILITY VIA STRONG DECISION RULES. (2006). Preminger, Arie ; Hafner, Christian M..
    In: Working Papers.
    RePEc:bgu:wpaper:0603.

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  41. When did unsystematic monetary policy have an effect on inflation?. (2005). Mojon, Benoit.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2005559.

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  42. Break in the mean and persistence of inflation: a sectoral analysis of French CPI. (2005). Bilke, Laurent.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2005463.

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  43. Breaks in the mean of inflation: how they happen and what to do with them. (2005). Mojon, Benoit ; Corvoisier, Sandrine .
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2005451.

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  44. Break in the Mean and Persistence of Inflation: a Sectoral Analysis of French CPI.. (2005). Bilke, L..
    In: Working papers.
    RePEc:bfr:banfra:122.

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  45. Has Euro-area inflation persistence changed over time?. (2004). Whelan, Karl ; O'Reilly, Gerard.
    In: Open Access publications.
    RePEc:ucn:oapubs:10197/251.

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  46. DETECTING LEVEL SHIFTS IN THE PRESENCE OF CONDITIONAL HETEROSCEDASTICITY. (2004). Ruiz, Esther ; Carnero, M. Angeles ; Pea, Daniel.
    In: Working Papers. Serie AD.
    RePEc:ivi:wpasad:2004-06.

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  47. Has Euro-Area Inflation Persistence Changed Over Time?. (2004). Whelan, Karl ; O'Reilly, Gerard.
    In: Research Technical Papers.
    RePEc:cbi:wpaper:4/rt/04.

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  48. Inflation Persistence during Periods of Structural Change: An Assessment Using Greek Data. (2004). Lazaretou, Sophia ; Hondroyiannis, George.
    In: Working Papers.
    RePEc:bog:wpaper:13.

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  49. Detecting level shifts in the presence of conditional heteroscedasticity.. (2003). Ruiz, Esther ; Carnero, M. Angeles ; Pea, Daniel.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws036313.

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  50. On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests. (2001). Yamamoto, Yohei ; Perron, Pierre.
    In: Boston University - Department of Economics - Working Papers Series.
    RePEc:bos:wpaper:wp2013-012.

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