This paper develops a new test, the trinomial test, for pairwise ordinal data samples to improve the power of the sign test by modifying its treatment of zero differences between observations, thereby increasing the use of sample information. Simulations demonstrate the power superiority of the...

Distance-based regression is a prediction method consisting of two steps: from distances between observations we obtain latent variables which, in turn, are the regressors in an ordinary least squares linear model. Distances are computed from actually observed predictors by means of a suitable...

This paper proposes two new unit root tests that are appropriate in the presence of an unknown number of structural breaks. One is based on a single time series and the other is based on a panel of multiple series. For the estimation of the number of breaks and their locations, a simple...

A transformation kernel density estimator that is suitable for heavy-tailed distributions is discussed. Using a truncated Beta transformation, the choice of the bandwidth parameter becomes straightforward. An application to insurance data and the calculation of the value-at-risk are presented.

In this paper it is illustrated, in a practical way, the use of three tools that permit the actuary to define tariff groups and to estimate risk premiums in the class-rating process for non-life insurance. The first is the segmentation analysis (CHAID and XAID) used firstly at 1997 by UNESPA in...

The paper addresses the concept of multicointegration in panel data frame- work. The proposal builds upon the panel data cointegration procedures developed in Pedroni (2004), for which we compute the moments of the parametric statistics. When individuals are either cross-section independent or...

Some unit root testing situations are more difficult than others. In the case of quarterly industrial production there is not only the seasonal variation that needs to be considered but also the occasionally breaking linear trend. In the current paper we take this as our starting point to...

This Phillips-Ouliaris (1988) non-parametric unit root test for non seasonal data and the seasonal one of Joyeux (1992) are based in the estimation of the spectral density function in a fixed frequency. We can get consistent estimations of the spectrum using spectral windows, but such procedure...

Empirical studies have shown little evidence to support the presence of all unit roots present in the filter in quarterly seasonal time series. This paper analyses the performance of the Hylleberg, Engle, Granger and Yoo (1990) (HEGY) procedure when the roots under the null are not all present....

Several unit root tests in panel data have recently been proposed. The test developed by Harris and Tzavalis (1999 JoE) performs particularly well when the time dimension is moderate in relation to the cross-section dimension. However, in common with the traditional tests designed for the...