Regression analyses of cross-country economic growth data are complicated by two main forms of model uncertainty: the … uncertainty in selecting explanatory variables and the uncertainty in specifying the functional form of the regression function …

to simultaneously estimate the bandwidths for local linear estimators in the regression function and the bandwidth for …

hypothesis testing in the multivariate regression model without intercept because the Durbin-Watson test which has numerous … problems first established in a multiple regression model with first-order autoregressive error by Durbin and Watson (1950 …

hypothesis testing in the multivariate regression model with intercept because the Durbin-Watson test which has numerous problems … first established in a multiple regression model with first-order autoregressive error by Durbin and Watson (1950). The …

illustrate their use in a simple regression model with a simulation study that demonstrates that the use of the flexible … distributions may result in significant efficiency gains relative to more conventional regression procedures, such as ordinary least … squares or least absolute deviations regression, without a suffering from a large efficiency loss when errors are Gaussian …

volatility dynamics are modelled both exogenously and deterministic, captured by a nonparametric regression-type approach …

A non-stationary regression model for financial returns is examined theoretically in this paper. Volatility dynamics …. -- heteroscedastic asset returns ; non-stationarity ; nonparametric regression ; volatility ; innovation modelling ; asymmetric heavy …