In this paper, one studies the asymptotic behavior of empirical processes based on consecutive residuals of univariate conditional mean and variance models. These processes are then used to develop tests of serial independence of the innovations. Even if the limiting distributions of the...

Recent empirical studies of firm-level performance have been concerned with establishing potential complementarity between more than two organizational practices. These papers have drawn conclusions on the basis of potentially biased estimates of pair-wise interaction effects between such...

We introduce a new type of heavy-tailed distribution, the normal reciprocal inverse Gaussian distribution (NRIG), to the GARCH and Glosten-Jagannathan-Runkle (1993) GARCH models, and compare its empirical performance with two other popular types of heavy-tailed distribution, the Student's t...

In this paper, we address the issue of spurious correlation in the production of health in a systematic way. Spurious correlation entails the risk of linking health status to medical (and nonmedical) inputs when no links exist. This note first presents the bounds testing procedure as a method to...

Empirical studies on aggregate export behavior have recently emphasized the role played by innovation as the main force driving product differentiation and competitiveness for developed countries. These studies treat foreign innovation as a variable that affects negatively national export...

We study the asymptotic properties of the Adaptive LASSO (adaLASSO) in sparse, high-dimensional, linear time-series models. We assume that both the number of covariates in the model and the number of candidate variables can increase with the sample size (polynomially or geometrically). In other...

The objective of this paper is to suggest a visual method for identifying departures from normality of the innovations in times series models. The method is based on replacing the variance by the Gini as the measure of variability. The Gini methodology is a rank-based methodology, which takes...

This paper extends the results in He et al. (2008) and Francq and Zakoian (2010) by obtaining the moments and some cross-moments of the unconditional distribution of the TGARCH(1,1) model under different specifications of the conditional mean. We find analytical expressions for the unconditional...

Using the US states plus the District of Columbia, output-oriented innovative efficiency scores are computed using data envelope analysis (DEA) where total patent counts serve as the measure of innovative output and industry and academic research and development expenditures, and numbers of...