The sample covariance matrix is known to contain substantial statistical noise, making it inappropriate for use in financial decision making. Leading researchers have proposed various filtering methods that attempt to reduce the level of noise in the covariance matrix estimator. In most cases,...

We provide an overview of recent empirical research on patterns of cross-country growth. The new empirical regularities considered differ from earlier ones, e.g., the well-known Kaldor stylized facts. The new research no longer makes production function accounting a central part of the analysis....

This chapter presents a unified set of estimation methods for fitting a rich array of models describing dynamic relationships within a longitudinal data setting. The discussion surveys approaches for characterizing the micro dynamics of continuous dependent variables both over time and across...

This paper proposes a new mutual independence test for a large number of high dimensional random vectors. The test statistic is based on the characteristic function of the empirical spectral distribution of the sample covariance matrix. The asymptotic distributions of the test statistic under...

Capturing dependence among a large number of high dimensional random vectors is a very important and challenging problem. By arranging n random vectors of length p in the form of a matrix, we develop a linear spectral statistic of the constructed matrix to test whether the n random vectors are...

When estimating process on financial time series, the usual method is to postulate the equations for the process and to estimate the parameter values for each time series. The implicit assumption is that the equations are universal (i.e. identical for all assets), while the parameters are...

We provide a general class of tests for correlation in time series, spatial, spatiotemporal and cross-sectional data. We motivate our focus by reviewing how computational and theoretical difficulties of point estimation mount as one moves from regularly-spaced time series data, through forms of...

For many low-income countries, the impact of structural reforms on economic growth and poverty alleviation crucially depends on the response of aggregate agricultural supply to changing incentives. Despite its policy relevance, the size of this parameter is still largely unknown. This paper...

Measurable aspects of the economic convergence of EU countries form the main topic of this paper. For this purpose, statistical and econometric methods are presented and applied for revealing characteristic elements of such a process. A first group of methods refers mainly to aspects such as:...