A more powerful version of the ADF test and a test that has trend stationarity as the null are applied to U.S. GNP. Simulated critical values generated from plausible trend and difference stationary models are used in order to minimize possible finite sample biases. The discriminatory power of...

This paper provides a unified framework for interpreting a wide range of interactions models which have appeared in the economics literature. A formalization taken from the statistical mechanics literature is shown to encompass a number of socioeconomic phenomena ranging from out of wedlock...

In the increasingly connected world, many systems are more or less coupled with each other in various ways. A typical example is the cross-market portfolio management, where the products of heterogeneous markets are selected and configured for investment. In such cross-market problems, one...

No, and maybe not. [additional text from author's introduction] To us, the possibility of providing a compelling case that real GMP is either trend or difference stationary seems extremely small, certainly on the basis of post-war data. This is because there is only one difference between these...

This paper describes the modelling of spread risk, in case of missing or illiquid market data, by using a subset of good quality liquid bond/credit default swap (CDS) spread time series. The proposed method links copula simulation to the actual historical spread dynamics. This is important when...

A novel, general two-sample hypothesis testing procedure is established for testing the equality of tail copulas associated with bivariate data. More precisely, using an ingenious transformation of a natural two-sample tail copula process, a test process is constructed, which is shown to...

This paper considers the use of instrumental variables to estimate the mean effect of treatment on the treated. It reviews previous work on this topic by Heckman and Robb (1985, 1986) and demonstrates that (a) unless the effect of treatment is the same for everyone (conditional on observables),...

This paper presents an empirical analysis of changes in individual earnings and hours over time. Using longitudinal data from three panel surveys,we catalogue the main features of the covariance structure of changes in earnings and hours. We then present an interpretation of these features in...

Reliable wind energy forecasting is crucial for the stable operation of power grids. This paper proposes a regional wind power probabilistic forecasting model comprising an improved kernel density estimation (IKDE), regular vine copulas, and ensemble learning. The IKDE is firstly used to...