The empirical likelihood ratio (ELR) test for the problem of testing for normality is derived in this paper. The sampling properties of the ELR test and four other commonly used tests are provided and analyzed using the Monte Carlo simulation technique. The power comparisons against a wide range...

The alpha-stable family of distributions constitutes a generalization of the Gaussian distribution, allowing for asymmetry and thicker tails. Its practical usefulness is coupled with a marked theoretical appeal, as it stems from a generalized version of the central limit theorem in which the...

This paper presents a new method for extracting the cycle from an economic time series. This method uses the fuzzy c-means clustering algorithm, drawn from the pattern recognition literature, to identify groups of observations. The time series is modeled over each of these sub-samples, and the...

We consider the seasonal distribution of turning points in the post-war growth cycles of sixteen economies. Using nonparametric tests for distributions on the circle, we cannot reject the hypothesis of a uniform distribution for the turning points for most of the countries. In the case of...

The empirical likelihood ratio (ELR) test for the problem of testing for normality in a linear regression modell is derived in this paper. The sampling properties of the ELR test and four other commonly used tests are provided and analyzed using Monte Carlo simulation. The ELR test has good...

In this paper we derive an empirical likelihood type Wald (ELW)test for the problem testing for structural change in a linear regression model when the variance of error term is not known to be equal across regimes. The sampling properties of the ELW test are analyzed using Monte Carlo...

This paper develops a framework based on convex optimization and economic ideas to formulate and solve by an index policy the problem of optimal dynamic effort allocation to a generic discrete-state restless bandit (i.e. binary-action: work/rest) project, elucidating a host of issues raised by...

An interior-point method for solving mathematical programs with equilibrium constraints (MPECs) is proposed. At each iteration of the algorithm, a single primaldual step is computed from each subproblem of a sequence. Each subproblem is defined as a relaxation of the MPEC with a nonempty...

We show that analyzing model selection in ARMA time series models as a quadratic discrimination problem provides a unifying approach for deriving model selection criteria. Also this approach suggest a different definition of expected likelihood that the one proposed by Akaike. This approach...

In this note we analyze the relationship between one-step ahead prediction errors and interpolation errors in time series. We obtain an expression of the prediction errors in terms of the interpolation errors and then we show that minimizing the sum of squares of the one step-ahead standardized...