Search Results

Modeling Stock Market Returns under Self-exciting Threshold Autoregressive Model: Evidence from West Africa,
Emmanuel Numapau Gyamfi and Kwabena A. Kyei, in International Journal of Economics and Financial Issues (2016)
Keywords: Threshold Models, Linearity Tests, Self-exciting Threshold Autoregressive Model

MEASUREMENT OF INEFFICIENCIES IN BANGLADESH BANKING INDUSTRY USING STOCHASTIC FRONTIER PRODUCTION FUNCTION,
Abdus Samad, in Global Journal of Business Research (2009)

The Econometric Analysis between Divorce Phenomenon and Economic-Social Variables in Romania,
Andreea-Ionela Puiu, in Romanian Journal of Economics (2019)
Keywords: Divorce; Family; Econometric Analysis; Fixed Effects Model; Panel Data Analysis

Large-Scale Global and Simultaneous Inference: Estimation and Testing in Very High Dimensions,
T. Tony Cai and Wenguang Sun, in Annual Review of Economics (2017)
Keywords: compound decision problem, dependence, detection boundary, false discovery rate, global inference, multiple testing, null distribution, signal detection, simultaneous inference, sparsity

Comprehensive Evaluation of Flood Defense Projects and Productivity Potential Issues,
Abdur Rouf, in Journal of Developing Areas (2019)
Keywords: Performance evaluation, Economic perspective, Flood Defense, Technical Efficiency, Yield-Gap, Potential Yield Increment

The Stochastic Futures of the Natural Gas Prices: Russian Federation in Caspian Region,
Narmin Mammadova, in Econometrics Letters (2014)
Keywords: Panel Data; Emerging Market; Media Institution.

Gaussian Analysis of Non-Gaussian Time Series,
Dimitris Kugiuntzis and Efthimia Bora-Senta, in Brussels Economic Review (2010)
Keywords: Non-Gaussian time series; Autocorrelation; Autoregressive models; Surrogate data; Hypothesis testing; International financial markets

Calendar anomalies in the Latin American stock markets: A Bonferroni testing approach,
Emilio Rojas and Werner Kristjanpoller, in Lecturas de Economía (2014)
Keywords: Day of the week effect, month effect, emerging markets, Bonferroni correction, GARCH models

TESTS OF PURCHASING POWER PARITY WITH STRUCTURAL BREAK IN THE MEXICAN ECONOMY,
Noé Arón Fuentes and Alberto Godínez Plascencia, in Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance) (2004)
Keywords: Purchasing Power Parity (PPP), Structural Breaks, Mexico

Bootstrap inference about integrated volatility (in Russian),
Andrey Rafalson, in Quantile (2012)
Keywords: integrated volatility, realized volatility, block bootstrap, GARCH bootstrap

The Bias in the Long Run Relation between the Prices of BRENT and West Texas Intermediate Crude Oils,
Samih Antoine Azar and Angelic Salha, in International Journal of Energy Economics and Policy (2017)
Keywords: BRENT and West Texas Intermediate Crude Oil Spot Prices, Cointegration, Error-correction Models, Generalized Auto-regressive Conditional Heteroscedasticity Methods, Bias in the Association, Three Data Frequencies, Oil Market Integration

Economic Development and Structural Breaks: An Application of the Lee and Strazicich(2003) Lagrange Multiplier Test to the Libyan Economy, 1970-2007,
Issa Ali and Reetu Verma, in Applied Econometrics and International Development (2012)
Keywords: Economic development, unit root hypothesis, structural breaks, and Libyan economy.

Sources Of Economic Growth In Iran: A Cointegration Analysis In The Presence Of Structural Breaks, 1960-2003,
M. Pahlavani, in Applied Econometrics and International Development (2005)
Keywords: structural break, unit root tests, cointegration technique, and Iranian economy

AN EMPIRICAL ANALYSIS OF SUSTAINABILITY OF TRADE DEFICIT: EVIDENCE FROM SRI LANKA,
Nelson Perera and Reetu Varma, in International Journal of Applied Econometrics and Quantitative Studies (2008)
Keywords: Trade Deficit, Unit root, Structural Breaks, Cointegration, Sri Lanka

Cointegration and Structural Change in the Exports-Gdp Nexus: The Case of Iran, 1960-2003,
M. Pahlavani, in International Journal of Applied Econometrics and Quantitative Studies (2005)
Keywords: structural break, unit root tests, ARDL method, and Iranian economy

The Effect of Inflation Rate on the Performance of the Stock Market in Iran (in Persian),
Mohammad Hshem Mosavi and Mariam Ragheb, in Journal of Monetary and Banking Research (فصلنامه پژوهش‌های پولی-بانکی) (2014)

Assymetric Mean Reversion in the Consumption-Income Ratio: Evidence from OECD economies,
Steven Cook, in Applied Econometrics and International Development (2002)

Response surfaces for DF-GLS p-values,
Allin Cottrell, from Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali (2021)

ESTIMATING THE REAL EFFECTIVE EXCHANGE RATE VOLATILITY WITH ARCH AND GARCH MODELS,
Serife Ozsahin and Dogan Uysal, in Anadolu University Journal of Social Sciences (2012)
Keywords: Real effective exchange rate, volatility, ARIMA, ARCH and GARCH

Implicit Volatility versus Statistical Volatility: an Exercise Using Options and Telemar S.A. Stock,
João Gabe and Marcelo Savino Portugal, in Brazilian Review of Finance (2004)
Keywords: volatility, options, conditional variance, FIGARCH, Black-Scholes

The Assessment of Polish Bank Sector Condition on the Basis of Swap Spreads,
Piotr Ryszard Pluciennik, in Acta Universitatis Nicolai Copernici, Ekonomia (2015)
Keywords: swap spread, liquidity premium, credit risk, yield curve, Markov switching models

A Simple GCV Method of Span Selection for Periodigram Smoothing,
H.C. Ombao, J.A. Raz, R.L. Strawderman and R. von Sachs, from Catholique de Louvain - Institut de statistique (1999)
Keywords: TIME SERIES ; ESTIMATOR ; ECONOMETRICS

Re-gendering globalization: Overcoming the phenomenon of gendering globalization,
Sadia Afrin, Mahmudul Hasan Fouiji and Muhammad Raquib, in Journal of Economic and Financial Studies (JEFS) (2015)
Keywords: Development; Globalization; Gender; Re-Gendering.

TIME VARYING AND ASYMMETRIC EFFECT BETWEEN OIL PRICES AND NOMINAL EXCHANGE RATE VOLATILITY: A MULTIVARIATE FIEGARCH-DCC APPROACH,
Riadh El Abed, in Journal of Academic Research in Economics (2017)
Keywords: DCC-FIEGARCH, Asymmetries, Long memory, nominal exchange rate and Crude oil.

AN ARDL MODEL OF TOURISM DEMAND FOR MALAYSIA,
Norlida Hanim Salleh, in IIUM Journal of Economics and Management (2007)
Keywords: Tourism Demand, ARDL Model, ASEAN.

The Effects of Oil Price Shocks on real GDP in Iran,
Mohammad Taghi Khosravi Larijani, Abbas Rezazadeh Karsalari and Mehdi Aghaee, in Hyperion Economic Journal (2013)
Keywords: lead, real GDP, Iran economy, asymmetric effects, oil price shocks, Johansen cointegration test

Forecasting economic crisis using gradient measurement of development and log-logistic function,
Rafal Siedlecki and Daniel Papla, in Business and Economic Horizons (BEH) (2013)
Keywords: Law of growth, forecasting, economic crisis, time series analysis, warning signals, S-curve Journal:Business and Economic Horizons (BEH)

Analysis of Call Rate Behaviour Using Regime-switching Diffusion Process Model (in Korean),
Seungmoon Choi and Byungkuk Kim, in Economic Analysis (Quarterly) (2017)
Keywords: Regime-switching, Diffusion process model, Call rate behaviour, Maximum likelihood estimation, Transition probability density function

Maximum Likelihood Estimation of Continuous-Time Diffusion Models for Korean Short-Term Interest Rates,
Seungmoon Choi, in Economic Analysis (Quarterly) (2015)
Keywords: Short-term interest rates, Continuous-time diffusion model, Maximum likelihood estimation

An Empirical Study on Inflation and Economic Growth in Qatar,
Abdulla S. Al-Khulaifi, in International Journal of Economics and Financial Research (2018)
Keywords: Economic growth; Inflation; Cointegration; Granger causality; Qatar.

Valor en Riesgo mediante un modelo heterocedástico condicional ?-estable,
Ramona Serrano Bautista and Leovardo Mata Mata, in Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance) (2018)
Keywords: Valor en Riesgo (VaR), Distribución estable, GARCH, Modelo heterocedástico condicional ?-estable

Estimation of Private Consumption Function of Iran: Autoregressive Distributed Lag Approach to Co-integration,
Behnam Nikbin and Saman Panahi, in International Journal of Economics and Financial Issues (2016)
Keywords: Consumption Function, Auto-regressive Distributed Lag Approach, Error Correction Model

An Analysis of Supply Response for Natural Rubber in Cambodia,
Samin Much, Sopin Tongpan and Prapinwadee Sirisupluxana, in Applied Economics Journal (2011)
Keywords: natural rubber, supply response, Cambodia

Price-volume ratio analysis by causality and day-of-the-week effect for the Latin American stock markets,
Emilio Rojas Olea and Werner Kristjanpoller Rodríguez, in Lecturas de Economía (2015)
Keywords: price-volume relationship, day-of-the-week effect, emerging markets, Granger causality

Stress Testing of the Montenegrin Banking System with Aggregated and Bank-Specific Data,
Sanja Vuković, in Journal of Central Banking Theory and Practice (2014)
Keywords: stress testing, loan loss provisions, estimation, credit risk

A semiparametric assessment of export-led growth in the Philippines,
Lorna E. Amrinto and Hector O. Zapata, in Philippine Review of Economics (2006)
Keywords: export-led growth, semiparametric error-correction model, Granger causality

Macroeconomic efault Modeling and Stress Testing,
Dietske Simons and Ferdinand Rolwes, in International Journal of Central Banking (2009)

Oil and S&P 500 Markets: Evidence from the Nonlinear Model,
Yen-Hsien Lee and Fang Hao, in International Journal of Economics and Financial Issues (2012)
Keywords: Threshold Co-integration Test; Threshold Error-Correction Model; Stock Market; Oil Market; STECM-GARCH Model

The Optimal Taxation and the Current Tax System,
Ioannis N. Kallianiotis, in International Journal of Economics and Empirical Research (IJEER) (2015)
Keywords: Estimation, Consumption and Saving, Taxation, Government Expenditures

Un modello a soglia per la volatilità del mercato azionario italiano: performance previsive e valutazione del rischio di portafoglio,
Asmara Jamaleh, in Rivista di Politica Economica (2001)

Some Misconceptions in Statistical Hypothesis Testing,
Ching-Fan Chung, in Journal of Economics and Management (2005)
Keywords: hypothesis testing, two types of errors, power

INFLUENCE OF WINE TOURISM IN THE COMPETITIVENESS OF MICRO, SMALL AND MEDIUM-SIZED WINERIES IN GUADALUPE VALLEY, B. C., MEXICO, INFLUENCIA DE LA OFERTA DE ACTIVIDADES DE ENOTURISMO EN LA COMPETITIVIDAD DE LAS MICRO, PEQUENAS Y MEDIANAS VINICOLAS DE LA RUTA DEL VINO DEL VALLE DE GUADALUPE, B. C., MEXICO,
Lino Meraz Ruiz and Sonia Elizabeth Maldonado Radillo, in Revista Global de Negocios (2016)
Keywords: Wine Tourism, Competitiveness, Valle de Guadalupe, B.C.

Testing a Regression Model when we Have Smooth Alternatives in Mind,
W. Hardle and A. Kneip, from Catholique de Louvain - Institut de statistique (1998)
Keywords: TESTING ; MODELS

A model specification test for GARCH(1,1) processes,
Anne Leucht, Michael H. Neumann and Jens-Peter Kreiss, from University of Mannheim, Department of Economics (2013)
Keywords: Bootstrap , Cramér-von Mises test , GARCH processes , V-statistic

Three Lectures on the Walrasian Hypotheses for Exchange Economies,
Donald Brown, from Yale - Economic Growth Center (1997)
Keywords: GENERAL EQUILIBRIUM ; TESTS

Tax Reform and Coordination in a Currency Union,
Benjamin Carton, in International Economics (2012)
Keywords: Fiscal Policy;Monetary Policy;DSGE;Value added Tax;Monetary Union

DETECTION OF NONLINEAR EVENTS IN TURKISH STOCK MARKET,
Veli Yilanci, in Journal of Applied Economic Sciences (2012)
Keywords: Event detection, nonlinearity, stock market, Turkey

Determinants of Dropout and Child School Enrollment: A Case Study from Rural Islamabad,
Uzma Naz, Zainab Ejaz and Naveed Khan, in Journal of Quantitative Methods (2019)
Keywords: school dropouts; probit; determinants modeling; rural Pakistan

Fixed, Random, or Something in Between? – A Variant of HAUSMAN's Specification Test for Panel Data Estimators,
Manuel Frondel and Colin Vance, from RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen (2010)
Keywords: Specification tests, fuel price elasticity

ANOVA în cercetrările de marketing,
Cornelia Tomescu Dumitrescu, from University Library of Munich, Germany (2007)
Keywords: ANOVA, Market cars research, Snedecor test

On the inconsistency of the Breusch-Pagan test,
Asad Zaman, from University Library of Munich, Germany (1995)
Keywords: heteroskedasticity; Breusch-Pagan test; test consistency; F test

Testing Performace of Random Access Memory Using Linear Models,
Filip Tošenovský, from University Library of Munich, Germany (2008)
Keywords: RAM memory, linear model, analysis of covariance, deviance

Testing Independence for a Large Number of High–Dimensional Random Vectors,
Jiti Gao, Guangming Pan and Yanrong Yang, from University Library of Munich, Germany (2013)
Keywords: Central limit theorem, Covariance stationary time series, Empirical spectral distribution, Independence test, Large dimensional sample covariance matrix; Linear spectral statistics.

Precise finite-sample quantiles of the Jarque-Bera adjusted Lagrange multiplier test,
Diethelm Wuertz and Helmut Katzgraber, from University Library of Munich, Germany (2009)
Keywords: Jarque-Bera; Lagrange Multiplier

A Residual-Based Cointegration test with a Fourier Approximation,
Veli Yilanci, from University Library of Munich, Germany (2019)
Keywords: cointegration test; Fourier function; structural breaks.

Significance test in nonstationary logit panel model with serially correlated dependent variable,
Chia-Shang J. Chu, Nan Liu and Lina Zhang, in Economics Letters (2017)
Keywords: Nonstationary panel logit; Serial correlation; Significance test;

On testing for structural break of coefficients in factor-augmented regression models,
Sanpan Chen, Guowei Cui and Jianhua Zhang, in Economics Letters (2017)
Keywords: Structural break test; Factor-augmented regression model; Asymptotic null distribution;

High-dimensional test for alpha in linear factor pricing models with sparse alternatives,
Long Feng, Wei Lan, Binghui Liu and Yanyuan Ma, in Journal of Econometrics (2022)
Keywords: High dimensionality; Linear factor pricing model; Securities in stock markets; Sparse alternatives; Tests for alpha;

Two component modified Lilliefors test for normality,
Piotr Sulewski, in Equilibrium. Quarterly Journal of Economics and Economic Policy (2021)
Keywords: Kolmogorov-Smirnov test, Goodness-of-fit test, Lilliefors test, Monte Carlo method

Big data analytics in economics: What have we learned so far, and where should we go from here?,
Norman Swanson and Weiqi Xiong, in Canadian Journal of Economics (2018)

Testing for more positive expectation dependence with application to model comparison,
Michel Denuit, Julien Trufin and Thomas Verdebout, in Insurance: Mathematics and Economics (2021)
Keywords: Expectation dependence; Concentration curve; Lorenz curve; Autocalibration; Convex order; Balance correction;

Testing for (in)finite moments,
Lorenzo Trapani, in Journal of Econometrics (2016)
Keywords: Finite moments; Randomised tests; Chover-type Law of the Iterated Logarithm; Strong Law of Large Numbers;

Omnibus Tests for Multivariate Normality of Observations and Residuals,
Carlos Urzúa, from Tecnológico de Monterrey, Campus Ciudad de México (1996)
Keywords: test, multivariate normality, maximum entropy

A two-stage procedure for partially identified models,
Hiroaki Kaido and Halbert White, in Journal of Econometrics (2014)
Keywords: Partial identification; Set estimation; Two-stage estimation; Effros-measurability;

A dual approach to inference for partially identified econometric models,
Hiroaki Kaido, in Journal of Econometrics (2016)
Keywords: Partial identification; Criterion function; Support function;

Multiple hypothesis testing of market risk forecasting models,
Francesco Paolo Esposito and Mark Cummins, from University Library of Munich, Germany (2015)
Keywords: value-at-risk, expected shortfall, bootstrap multiple hypothesis testing, generalized familywise error rate, multiple comparison map

Testing the hypothesis of a doubly exchangeable covariance matrix for elliptically contoured distributions,
Carlos Coelho and Anuradha Roy, from College of Business, University of Texas at San Antonio (2014)

Testing of hypothesis of a block compound symmetric covariance matrix,
Carlos Coelho and Anuradha Roy, from College of Business, University of Texas at San Antonio (2013)
Keywords: characteristic function, composition of hypothesis, distribution of likelihood ratio statistics, near-exact distributions, product of independent Beta random variables, sum of independent Gamma random variables.

Testing the Equality of Mean Vectors for Paired Doubly Multivariate Observations,
Anuradha Roy and Ricardo Leiva, from College of Business, University of Texas at San Antonio (2013)
Keywords: Blocked compound symmetry; Paired doubly multivariate data; a natural extension of the Hotelling’s T2 statistic

Tests regarding parameters of several independent gamma populations,
Ram Tripathi, from College of Business, University of Texas at San Antonio (2009)
Keywords: Gamma distribution, minimum chi-square, general linear hypothesis, shape and scale parameters, multiple groups.

An exact, unified distributional characterization of statistics used to test linear hypotheses in simple regression models,
Thomas Parker, from University Library of Munich, Germany (2010)
Keywords: Test of linear restrictions, Generalized beta distribution, Small-sample probability distribution, Regression model

Une modalité d'éviter les tables des centiles dans la cas des régions de confiance et des tests statistiques,
Daniel Ciuiu, from University Library of Munich, Germany (2004)
Keywords: confidence regions; statistical tests

Finite-sample inference methods for autoregressive\ processes: an approach based on truncated pivotal autoregression,
jean-marie Dufour et Malika Neifar, from Econometric Society (2004)
Keywords: \QTR{bf}{ }Time series; autoregressive process; multiple unit root; exact inference; test; confidence region; power analysis; Monte Carlo experience.

A Specification Test for Time Series Models by a Normality,
Jin-Chuan Duan, from Econometric Society (2004)
Keywords: Consistency, Power, Size

Unit Root Tests with Markov-Switching,
Randolph, Qin Xiao and Tan Gee Kwang, from Econometric Society (2004)
Keywords: unit root, three states markov switching, explosive rational bubbles

Subvector inference when the true parameter vector may be near or at the boundary,
Philipp Ketz, in Journal of Econometrics (2018)
Keywords: Boundary; Asymptotic normality; Admissibility; Random coefficients;

Finite-sample exact tests for linear regressions with bounded dependent variables,
Olivier Gossner and Karl Schlag, in Journal of Econometrics (2013)
Keywords: Nonparametric linear regression; Exact test; Heteroskedasticity;

Factor model for assessing the state of the digital economy,
Aleksandr P. Sukhodolov, Ilya A. Slobodnyak and Valentina A. Marenko, in Journal of New Economy (2019)
Keywords: digital economy; cognitive model; cognitive map; simulation experiment

A Simple Specification Test for Models with Many Conditional Moment Inequalities,
Mathieu Marcoux, Thomas Russell and Yuanyuan Wan, from University of Toronto, Department of Economics (2023)
Keywords: Misspecification, Moment Inequality, Partial identification, Specification Testing

Martingale Tests of Value-at-Risk,
Peter Christoffersen and Jeremy Berkowitz, from Econometric Society (2004)
Keywords: risk management, backtesting, stochastic volatility

Testing equality of several distributions in separable metric spaces: A maximum mean discrepancy based approach,
Jin-Ting Zhang, Jia Guo and Bu Zhou, in Journal of Econometrics (2024)
Keywords: Data heterogeneity; Multi-sample test for equal distributions; Maximum mean discrepancy; Three-cumulant matched chi-square-approximation; Gaussian kernel;

A robust test for multivariate normality,
Kristian Jönsson, in Economics Letters (2011)
Keywords: Normality testing; Finite sample; Size distortion;

A robustified Jarque–Bera test for multivariate normality,
Namhyun Kim, in Economics Letters (2016)
Keywords: Goodness of fit test; Jarque–Bera test; Mardia’s test; Multivariate normality; Power comparison;

Variation-based tests for volatility misspecification,
Alex Papanicolaou and Kay Giesecke, in Journal of Econometrics (2016)
Keywords: Volatility testing; Diffusion processes; Goodness-of-fit tests;

Rank-based max-sum tests for mutual independence of high-dimensional random vectors,
Hongfei Wang, Binghui Liu, Long Feng and Yanyuan Ma, in Journal of Econometrics (2024)
Keywords: Asymptotic independence; Fixed effects panel data regression models; High dimensionality; Max-sum tests; Rank-based tests;

How cluster-robust inference is changing applied econometrics,
James MacKinnon, in Canadian Journal of Economics (2019)

Fractional integration and the augmented dickey-fuller test,
Walter Krämer, from Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen (1997)
Keywords: Dickey-Fuller Test, fractional alternatives

On testing for the mean vector of a multivariate distribution with generalized and {2}-inverses,
Pierre Duchesne and Christian Francq, from University Library of Munich, Germany (2010)
Keywords: two-inverses; generalized Wald's method; generalized inverses; multivariate analysis; singular normal distribution

On the Power of Invariant Tests for Hypotheses on a Covariance Matrix,
David Preinerstorfer and Benedikt Pötscher, from University Library of Munich, Germany (2014)
Keywords: power function, invariant test, autocorrelation, spatial correlation, zero-power trap, indistinguishability, Durbin-Watson test, Cliff-Ord test

Convenient Specification Tests for Logit and Probit Models,
Russell Davidson and James MacKinnon, from Economics Department, Queen's University (1982)
Keywords: binary response model, LM test, logit, probit