The Kies probability model was proposed as an alternative to the extended Weibull models as it provides a more efficient fit to some real-life data sets in comparison to the aforementioned models. The paper proposes classical and Bayesian inferences for the Kies distribution based on records....

Considering the inferior volatility tracking capability of the point-data-based models, we propose using the more informative price interval data and building interval regression models for volatility forecasting. To characterize the heterogeneity of the market and the nonlinearity of...

We propose to add ranking restrictions on impulse-responses to sign restrictions to narrow the identified set in vector autoregressions (VARs). Ranking restrictions come from micro data on heterogeneous industries in VARs, bounds on elasticities, or restrictions on dynamics. Using both a fully...

This paper analyzes Structural Vector Autoregressions (SVARs) where identification of structural parameters holds locally but not globally. In this case there exists a set of isolated structural parameter points that are observationally equivalent under the imposed restrictions. Although the...

The ordinary least squares (OLS) estimator for spatial autoregressions may be consistent as pointed out by Lee (2002), provided that each spatial unit is influenced aggregately by a significant portion of the total units. This paper presents a unified asymptotic distribution result of the...

A two-stage simulation-based framework is proposed to derive Identification Robust confidence sets by applying Indirect Inference, in the context of Autoregressive Moving Average (ARMA) processes for finite samples. Resulting objective functions are treated as test statistics, which are inverted...

Insurance loss data are usually in the form of left-truncation and right-censoring due to deductibles and policy limits, respectively. This paper investigates the model uncertainty and selection procedure when various parametric models are constructed to accommodate such left-truncated and...

The clustering of their letter shapes is performed based on the pairwise distances between their topological signatures.The article presents a new probability distribution, created by compounding the Poisson distribution with the weighted exponential distribution. Important mathematical and...

In this paper, we establish several recurrence relations between single and product moments of progressively Type-II right censored order statistics from the power Lomax distribution. The relations enable the computation of all the single and product moments of progressively Type-II right...

In this paper we propose and test a composite generalizer of the Lomax distribution .The genesis of the beta distribution and transmuted map is used to develop the so-called beta transmuted Lomax (BTL) distribution. The properties of the distribution are discussed and explicit expressions are...