The development of unit root tests continues unabated, with many recent contributions using techniques such as generalized least squares (GLS) detrending and recursive detrending to improve the power of the test. In this article, the relation between the seemingly disparate tests is demonstrated...

This paper develops a general method for conducting exact small-sample inference in models which allow the estimator of the (scalar) parameter of interest to be expressed as the root of an estimating function, and which is particularly simple to implement for linear models with a covariance...

While much of classical statistical analysis is based on Gaussian distributional assumptions, statistical modelling with the Laplace distribution has gained importance in many applied fields. This phenomenon is rooted in the fact that, like the Gaussian, the Laplace distribution has many...

We investigate alternative unconditional and conditional distributional models for the returns on Japan's Nikkei 225 stock market index. Among them is the recently introduced class of ARMA-GARCH models driven by α-stable (or stable Paretian) distributed innovations, designed to capture the...

A number of test statistics arising in econometrics can be expressed as a weighted ratio of quadratic forms in normal variables (ROQNV), but tractable expressions for computing their pdf and cdf do not exist. A numerical method for evaluating the cdf is given in Imhof (1961) but has the...

While much of classical statistical analysis is based on Gaussian distributional assumptions, statistical modeling with the Laplace distribution has gained importance in many applied fields. This phenomenon is rooted in the fact that, like the Gaussian, the Laplace distribution has many...

Simple, fast methods for modeling the portfolio distribution corresponding to a non-elliptical, leptokurtic, asymmetric, and conditionally heteroskedastic set of asset returns are entertained. Portfolio optimization via simulation is demonstrated, and its benefits are discussed. An augmented...