Jay Dennis

Institute for Defense Analyses

730 East Glebe Rd

Alexandria, VA 22305

United States

  • Institute for Defense Analyses

SCHOLARLY PAPERS

5

DOWNLOADS

370

TOTAL CITATIONS

1

Scholarly Papers (5)

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1.

Asymptotic properties of spurious regression and random walks with generalized drifts

Number of pages: 29 Posted: 29 May 2019 Last Revised: 01 Feb 2022
Jay Dennis and Kaiji Motegi
Institute for Defense Analyses and Kobe University - Graduate School of Economics
Downloads 131 (468,583)

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bimodal distribution, Brownian motion, functional central limit theorem, non-stationary time series, Type I Error

2.

Conditional Threshold Autoregression (CoTAR)

Number of pages: 33 Posted: 18 Nov 2021 Last Revised: 15 Jul 2024
Kaiji Motegi, Jay Dennis and Shigeyuki Hamori
Kobe University - Graduate School of Economics, Institute for Defense Analyses and Kobe University, Japan
Downloads 107 (547,477)

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profiling estimation, regime switch, self-exciting threshold autoregression (SETAR), threshold effect, Volatility Index (VIX), nonlinear time series

3.

Regular and reverse Midastar models: Threshold autoregression with mixed frequency data

Number of pages: 56 Posted: 14 Dec 2022 Last Revised: 18 Feb 2025
Kaiji Motegi, Jay Dennis and Seok Young Hong
Kobe University - Graduate School of Economics, Institute for Defense Analyses and Nanyang Technological University (NTU)
Downloads 78 (670,005)
Citation 1

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Mixed Frequency Data, Nonlinear Time Series, Threshold Autoregression

4.

Testing White Noise When Some Parameters may be Weakly Identified

Number of pages: 97 Posted: 16 Feb 2022
Jay Dennis
Institute for Defense Analyses
Downloads 32 (1,002,268)

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max test, white noise, weak identification

5.

An Over-Rejection Puzzle of Bootstrap Average Tests for the No-Threshold-Effect Hypothesis

Number of pages: 8 Posted: 19 Mar 2024 Last Revised: 03 Apr 2024
Kaiji Motegi and Jay Dennis
Kobe University - Graduate School of Economics and Institute for Defense Analyses
Downloads 22 (1,119,858)

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Asymmetry, nonlinear time series analysis, size distortion, Threshold Autoregression (TAR), type-I error, wild bootstrap