This paper improves a kernel-smoothed test of symmetry through combining it with a new class of asymmetric kernels called the generalized gamma kernels. It is demonstrated that the improved test statistic has a normal limit under the null of symmetry and is consistent under the alternative. A...

In this paper, we study the asymptotic behavior of the sequential empirical process and the sequential empirical copula process, both constructed from residuals of multivariate stochastic volatility models. Applications for the detection of structural changes and specification tests of the...

We propose a general procedure for testing that a regression function has a prescribed parametric form. We allow for multivariate regressors, non-normal errors and heteroscedasticity of unknown form. The test relies upon a nonparametric linear estimation method, such as a sieves expansion or the...

Although semiparametric alternatives are available, parametric binary choice models are widely used in practice, in spite of their sensitivity to misspecification. Here we present the results of a simulation study on the finite sample performance of parametric and semiparametric specification...

The usual t test, the t test based on heteroskedasticity and autocorrelation consistent (HAC) covariance matrix estimators, and the heteroskedasticity and autocorrelation robust (HAR) test are three statistics that are widely used in applied econometric work. The use of these significance tests...

The goal of this paper is to search for conclusive evidence against the stationarity of the global air surface temperature, which is one of the most important indicators of climate change. For this purpose, possible long-range dependencies are investigated in the frequency-domain. Since...

In this paper we investigate the possibility of the application of subsampling procedure for testing cointegration relations in large multivariate systems. The subsampling technique is applied to overcome the difficulty of nonstandard distribution and nuisance parameters in testing for...

In this paper we investigate the possibility of the application of subsampling procedure for testing cointegration relations in large multivariate systems. The subsampling technique is applied to overcome the difficulty of nonstandard distribution and nuisance parameters in testing for...

The Fourier Flexible form provides a global approximation to an unknown data generating process. In terms of limiting function specification error, this form is preferable to functional forms based on second-order Taylor series expansions. The Fourier Flexible form is a truncated Fourier series...

Linear programming model and general reciprocity theorem in mathematical programming are used to ap-proach utility functions of six large-scale Russian (the Moscow Region) case farms representing different production patterns. Technological coefficients of linear programmes are defined by means...