We consider two likelihood ratio tests, the so-called maximum eigenvalue and trace tests, for the null of no cointegration when fractional cointegration is allowed under the alternative, which is a first step to generalize the so-called Johansen's procedure to the fractional cointegration case....

Purpose: Counterfeiting is a menace in the emerging markets and many successful brands are falling prey to it. Counterfeit brands not only deceive consumers but also fuel a demand for lower priced replicas, both of which can devalue the bona-fide brand. But can consumers accurately identify a...

Purpose: With trade amounting to more than US$400bn, counterfeiting is already affecting many successful brands. Often, consumers are deceived into buying fake products due to the visual similarity between fake and original brand logos. This paper aims to explore the varying forms of fraudulent...

type="main" xml:id="jtsa12091-abs-0001"In this article, we propose a new joint portmanteau test for checking the specification of parametric conditional mean and variance functions of linear and nonlinear time-series models. The use of a joint test is motivated for complete control of the...

A dynamic panel data model is considered that contains possibly stochastic individual components and a common stochastic time trend that allows for stationary and nonstationary long memory and general parametric short memory. We propose four different ways of coping with the individual effects...

This article investigates, both in finite samples and asymptotically, statistical inference on predictive regressions where time series are generated by present value models of stock prices. We show that regression-based tests, including robust tests such as the conditional test and the Q-test,...