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Comment

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  • Atsushi Inoue

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  • Atsushi Inoue, 2015. "Comment," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(1), pages 9-11, January.
    • Handle: RePEc:taf:jnlbes:v:33:y:2015:i:1:p:9-11
    DOI: 10.1080/07350015.2014.969428
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    References listed on IDEAS

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    1. Clark, Todd E. & West, Kenneth D., 2006. "Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 155-186.
    2. Cai, Zongwu, 2007. "Trending time-varying coefficient time series models with serially correlated errors," Journal of Econometrics, Elsevier, vol. 136(1), pages 163-188, January.
    3. Giraitis, Liudas & Kapetanios, George & Price, Simon, 2013. "Adaptive forecasting in the presence of recent and ongoing structural change," Journal of Econometrics, Elsevier, vol. 177(2), pages 153-170.
    4. J. Fan & M. Farmen & I. Gijbels, 1998. "Local maximum likelihood estimation and inference," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 60(3), pages 591-608.
    5. Romano, Joseph P. & Wolf, Michael, 2000. "A more general central limit theorem for m-dependent random variables with unbounded m," Statistics & Probability Letters, Elsevier, vol. 47(2), pages 115-124, April.
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