As part of the Measure phase of a Six Sigma (DMAIC) project, it is key to determine the sample size appropriate given the statistical precision needed on the estimation of the process capability (defined here as the expected proportion of defective units). Six Sigma practitioners are generally...

Spatial modeling is one of the growing areas of research in economics in recent years. However, these models are not tested enough. Even if tests are performed, they are done in a piece-wise fashion. Another age-long problem in economic modeling is endogeneity of one or more variables....

Estimation of discrete outcome specifications involves significant hypothesis testing, including multiple modelling decisions which could affect results and interpretation. Model development is generally time-bound, and decisions largely rely on experience, knowledge of the problem context and...

Testing for and measuring habitual brand loyalty (HBL) is one of the classic questions in quantitative marketing. We propose a nonparametric test for HBL using a ``dynamic potential outcomes'' model that resolves the classic identification challenge of decoupling state dependence and unobserved...

We show that extending the estimation window prior to structural breaks in cointegrated systems can be beneficial for forecasting performance and highlight under which conditions. In doing so, we generalize the Pesaran & Timmermann (2005)’s forecast error decomposition and show that it depends...

The present paper combines nonlinear shrinkage with the Multivariate Generalized Hyperbolic (MGHyp) distribution to account for heavy tails in estimating the first and second moments in high dimensions. An Expectation-Maximization (EM) algorithm is developed that is fast, stable, and applicable...

The ``REtrieval from MIxed Sampling'' (REMIS) approach based on blocking developed in Anderson et al. (2016) is concerned with retrieving an underlying high frequency model from mixed frequency observations. In this paper we investigate parameter-identifiability in the Johansen (1995) vector...

Surplus-lag testing has been proposed as a means of undertaking persistence-robust causality analysis irrespective of the integrated nature of economic and/or financial series under examination. The present paper examines whether this suggested robustness holds when considering series...

We propose a modification to the standard production function estimationframework that incorporates endogenous disruptions in the productivity processdue to lumpy firm investment. We investigate the differences between our novel(disruption) framework and the existing (baseline) approach on a...

The Markowitz model is still the cornerstone of modern portfolio theory. In particular, when focusing on the minimum-variance portfolio, the covariance matrix or better its inverse, the so-called precision matrix, is the only input required. So far, most scholars worked on improving the...