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Multiple structural breaks in interactive effects panel data models (replicat...
This dataset contains the data and instructions on how to replicate the results in the paper "Multiple structural breaks in interactive effects panel data models", by Jan... -
Structural breaks and GARCH models of exchange rate volatility: Re-examinatio...
Data and replication information for "Structural breaks and GARCH models of exchange rate volatility: Re-examination and extension" by Akram Hasanov, Robert Brooks, Aktam... -
Optimal forecast under structural breaks (replication data)
This paper develops an optimal combined estimator to forecast out-of-sample under structural breaks. When it comes to forecasting, using only the postbreak observations after... -
Robust inference under time‐varying volatility: A real‐time evaluation of pro...
In many forecast evaluation applications, standard tests as well as tests allowing for time-variation in relative forecast ability build on... -
Sparse change‐point VAR models (replication data)
Change-point (CP) VAR models face a dimensionality curse due to the proliferation of parameters that arises when new breaks are detected. We introduce the Sparse CP-VAR model...
