This study applies a threshold autoregressive (TAR) model to monthly stock prices for three South Asian countries over the period from 1991:01 to 2009:09. Two main conclusions are drawn. Firstly, the results indicate that all the stock prices in this study exhibit non-linear behavior. Secondly,...

This study applies a threshold autoregressive (TAR) model to monthly stock prices for three South Asian countries over the period from 1991:01 to 2009:09. Two main conclusions are drawn. Firstly, the results indicate that all the stock prices in this study exhibit non-linear behavior. Secondly,...

This paper studies the lead–lag relationship between oil prices and trade balance for India by using monthly data covering the period from January 1980 to December 2011 and the post current account convertibility era (from August 1994 to December 2011). To analyse the issue, we adopt the...

The Box-Cox (1964) transformation model is widely used in various fields of econometrics and statistics. Generally, the maximum likelihood estimator under the normality assumption (BC MLE) is used. However, the BC MLE is not consistent under heteroscedasticity, even if the “small...

In this paper, we consider efficient estimation of coefficients of interest in seemingly unrelated regressions (SUR) models. Using the GMM interpretation of the usual OLS and GLS/FGLS estimation of regression coefficients in SUR models, we derive the necessary and sufficient condition for the...

The study analyzes the performance of the Zheng test for functional form in different scenarios concerning the distribution approximation of the test statistic. We apply the test statistic for validating simple wage functions.

In this note we provide justification for some Monte Carlo results presented by Elder and Kennedy (2001). In particular we show that the severe size distortions observed by Elder and Kennedy are due to the presence of nuisance parameters in the data generation process, but ignored in the test...

In this note we propose the artificial neural networks for measuring efficiency as a complementary tool to the common techniques of the efficiency literature. In the application to the public sector we find that the neural network allows to conclude more robust results to rank decision-making units.

This paper studies the estimation of time series regression when both regressors and disturbances have long memory. In contrast with the frequency domain estimation as in Robinson and Hidalgo (1997), we propose to estimate the same regression model with discrete wavelet transform (DWT) of the...

This study refers to the earlier work of analysis in the frequency domain. A different definition of causality is made, and its implications to the general idea of causality are discussed. The causality relationship between two monetary aggregates, simple sum and Divisia indices, and their...