The results of analyzing experimental data using a parametric approach may heavily depend on the chosen model. With this paper we describe computational tools in Splus for a simultaneous selection of parametric regression and variance models from a relatively rich model class and of Box-Cox...

In the present paper we confine ourselves to proposing tests for smooth transition nonlinearity in the presence ou outliers. We consider outlier robust estimation techniques to modify the tests developed by Luukkonen et al

Repeated-imputation inference (RII) techniques for estimating nonlinear models with multiply imputed data are described. RII techniques are used to estimate a logit model using the 1995 Survey of Consumer Finances. RII techniques use all information available in multiply imputed data and...

The book deals with the econometric analysis of high frequency financial time series. It emphasizes a new nonparametric approach to volatility models and provides theoretical and empirical comparisons with conventional ARCH models, applied to foreign exchange rates. Nonparametric models are...