A general method is proposed for the construction of valid simultaneous confidence sets in the context of stationary GARCH models. The proposed method proceeds by numerically inverting the conventional likelihood ratio test. In order to hedge against the risk of a spurious rejection, candidate...

In this paper we introduce a transformation of the Edgeworth-Sargan series expansion of the Gaussian distribution, that we call Positive Edgeworth-Sargan (PES). The main advantage of this new density is that it is well defined for all values in the parameter space, as well as it integrates up to...

Consensus estimates put the half-life of deviations from purchasing power parity (PPP) at about four years (Rogoff, 1996). However, conventional least squares estimates of half-lives are biased downward. Accordingly, as a preferred measure of the persistence of real exchange rate shocks, this...

Many time series in diverse fields have been found to exhibit long memory. This paper analyzes the behavior of some of the most used tests for long memory: the R/S or rescaled R/S, the GPH (Geweke and Porter-Hudak) and the DFA (Detrended Fluctuation Analysis). Some of these tests exhibit size...

In this paper we introduce a transformation of the Edgeworth-Sargan series expansion of the Gaussian distribution, that we call Positive Edgeworth-Sargan (PES). The main advantage of this new density is that it is well defined for all values in the parameter space, as well as it integrates up to...

Forecasters and applied econometricians are often interested in comparing the predictive accuracy of nested competing models. A leading example of nestedness is when predictive ability is equated with ?out-of-sample Granger causality?. In particular, it is often of interest to assess whether...

Statisticians make their living producing confidence intervals and pvalues. However, those in the Stata log are not ready for delivery to the end user, who usually wants to see statistical output either as a plot or as a table. This article describes a suite of programs used to convert Stata...

A common class of problem in statistical science is estimating, as a benchmark, the probability of some event under randomness. For example, in a sequence of events in which several outcomes are possible and the length of the sequence and number of outcomes of each type known, the number of runs...