Under the condition of the finite sample or the unknown distributed error term, testing for spatial dependence in panel data models is an unresolved problem in spatial econometrics. In this paper, a fast double bootstrap (FDB) method is used to construct bootstrap Moran's I tests for Moran's I...

Over the last three decades, China's product, labor, and capital markets have become gradually more integrated within its borders, although integration has been significantly slower for capital markets. There remains a significant urban-rural divide, and Chinese cities tend to be under-sized by...

Wavelet analysis is a new mathematical tool developed as a unified field of science over the last decade. As spatially adaptive analytic tools, wavelets are useful for capturing serial correlation where the spectrum has peaks or kinks, as can arise from persistent/strong dependence, seasonality...

Controlling and monitoring extreme downside market risk is important for financial risk management and portfolio/investment diversification. In this paper, we introduce a new concept of Granger causality in risk and propose a class of kernel-based tests to detect extreme downside risk spillover...

In this article, we propose a simulation method to implement Hong and Li’s (2005) transition density based test for continuous-time models. The idea is to simulate a sequence of dynamic probability integral transforms, which is the key ingredient of Hong and Li’s (2005) test. The...

We develop a nonparametric regression-based goodness-of-fit test for multifactor continuous-time Markov models using the conditional characteristic function, which often has a convenient closed-form or can be approximated accurately for many popular continuous-time Markov models in economics...

Modeling conditional distributions in time series has attracted increasing attention in economics and finance. We develop a new class of generalized Cramer-von Mises (GCM) specification tests for time series conditional distribution models using a novel approach, which embeds the empirical...

This paper gives a selective review on some recent developments of nonparametric methods in both continuous and discrete time finance, particularly in the areas of nonparametric estimation and testing of diffusion processes, nonparametric testing of parametric diffusion models, nonparametric...