type="main" xml:id="jtsa12019-abs-0001"This article proposes a hybrid bootstrap approach to approximate the augmented Dickey–Fuller test by perturbing both the residual sequence and the minimand of the objective function. Since innovations can be dependent, this allows the inclusion of...

In a high-dimensional linear regression model, we propose a new procedure for testing statistical significance of a subset of regression coefficients. Specifically, we employ the partial covariances between the response variable and the tested covariates to obtain a test statistic. The resulting...

The penalized least squares approach with smoothly clipped absolute deviation penalty has been consistently demonstrated to be an attractive regression shrinkage and selection method. It not only automatically and consistently selects the important variables, but also produces estimators which...

The mean-variance theory of Markowitz (1952) indicates that large investment portfolios naturally provide better risk diversification than small ones. However, due to parameter estimation errors, one may find ambiguous results in practice. Hence, it is essential to identify relevant stocks to...

Davidson (2004) recently proposed the hyperbolic GARCH model to capture the phenomenon of long-range dependence in volatility, with the extent of such dependence measured by the geometric or hyperbolic decay of the coefficients in an ARCH(∞) model. In this article, we reinterpret the...

This paper proposes two Hausman-type tests respectively for individual and time effects in a two-way error component regression model by comparing estimators of the variance of the idiosyncratic error at different robust levels. They are both robust to the presence of the other effect, and the...