Are structural breaks models true switching models or long memory processes? The answer to this question remain ambiguous. A lot of papers, in recent years, have dealt with this problem. For instance, Diebold and Inoue (2001) and Granger and Hyung (2004) show, under speci c conditions, that switching models and long memory processes can be easily confused. In this paper, using several generatin...

Measuring scholarly impact has been a topic of much interest in recent years. While many use the citation count as a primary indicator of a publications impact, the quality and impact of those citations will vary. Additionally, it is often difficult to see where a paper sits among other papers in the same research area. Questions we wished to answer through this visualization were: is a publica...

In 1931 Klenk and Diebold (1) reported that sphingosine, upon oxidative degradation, gave rise to myristic acid and an optically active dihydroxyaminobutyric acid, [o(]A3 = 33.4”, which these authors characterized as an cY-amino-p ,r-dihydroxy-n-butyric acid. 5 years later Fischer and Feldmann (2), starting from D-glyceric aldehyde, synthesized an optically active oc-amino-p ,r-dihydroxy-n-buty...

We assess and apply the term-structure model introduced by Nelson and Siegel (1987) and re-interpreted by Diebold and Li (2003) as a modern three-factor model of level, slope and curvature. First, we ask whether the model is a member of the affine class, and we find that it is not. Hence the poor forecasting performance recently documented for affine term structure models in no way implies that...

In this paper we outline conditions under which the Diebold and Mariano (DM: 1995) test for predictive ability can be extended to the case of two forecasting models, each of which may include cointegrating relations, when allowing for parameter estimation error. We show that in the cases where either the loss function is quadratic or the length of the prediction period, P, grows at a slower rat...

We propose a framework for out-of-sample predictive ability testing and forecast selection designed for use in the realistic situation in which the forecasting model is possibly misspecified, due to unmodeled dynamics, unmodeled heterogeneity, incorrect functional form, or any combination of these. Relative to the existing literature (Diebold and Mariano (1995) and West (1996)), we introduce tw...