In this study, we verify the existence of predictability in the Brazilian equity market. Unlike other studies in the same sense, which evaluate original series for each stock, we evaluate synthetic series created on the basis of linear models of stocks. Following Burgess (1999), we use the...

This paper replicates Cheung and Lai (1995), who use response surface analysis to obtain approximate finite-sample critical values adjusted for lag order and sample size for the augmented Dickey-Fuller test. We obtain results that are quite close to their results. We provide the Ox source code....

Most existing semi-parametric estimation procedures for binary choice models are based on the maximum score, maximum likelihood, or nonlinear least squares principles. These methods have two problems. They are difficult to compute and they may result in multiple local optima because they require...

This paper explores the sensitivity of plug-in based subset tests to instrument exclusion in linear IV regression. Recently, identification-robust statistics based on plug-in principle have been developed for testing hypotheses specified on subsets of the structural parameters. However, their...

Since times of Yule (1926), it is known that correlation between two time series can produce spurious results. Granger and Newbold (1974) see the roots of spurious correlation in non-stationarity of the time series. However the study of Granger, Hyung and Jeon (2001) prove that spurious...

We provide a generalization of the Anderson-Rubin (AR) procedure for inference on parameters which represent the dependence between possibly endogenous explanatory variables and disturbances in a linear structural equation (endogeneity parameters). We focus on second-order dependence and stress...

The objective of this study is to test regional economic inequalities in Jordan. The methodology has been profoundly influenced by the statistical approach of Analyses Of Variance (ANOVA). This approach tests regional variations in consumption on governorates level. The Least Significant...

Determination of the lag length of an autoregressive process is one of the most difficult parts of ARIMA modeling. Various lag length selection criteria (Akaike Information Criterion, Schwarz Information Criterion, Hannan-Quinn Criterion, Final Prediction Error, Corrected version of AIC) have...

The article considers the prospects for the use of the index ratings in predicting socio-economic development of the Russian Federation, critically analyzes the existing methods of indicative planning and the ways of solving problems facing the practice of regional management tasks.

Much research sponsored by the Department of Agriculture's Food and Nutrition Service (FNS) has evaluated the effects of the Food Stamp Program (FSP) and other food and nutrition programs on outcomes of interest (e.g., dietary intake or food expenditures). Of course, the problem of...