This paper proposes methods for estimation and inference in multivariate, multi-quantile models. The theory can simultaneously accommodate models with multiple random variables, multiple confidence levels, and multiple lags of the associated quantiles. The proposed framework can be conveniently...

Xiao (2009) develops a novel estimation technique for quantile cointegrated time series by extending Phillips and Hansen¡¯s (1990) semiparametric approach and Saikkonen¡¯s (1991) parametrically augmented approach. This paper extends Pesaran and Shin¡¯s (1998) autoregressive distributed-lag...

Spurious rejections of the standard Dickey-Fuller (DF) test caused by a single variance break have been reported and some solutions to correct the problem have been proposed in the literature. Kim et al. (2002) put forward a correctly-sized unit root test robust to a single variance break,...

In this paper we develop a test to detect the presence of endogeneity in conditional quantile models. The proposed test is a Hausman-type test in that it is based on the distance between two estimators in which one is consistent only under no endogeneity while the other estimator is consistent...

We provide a new characterization of the equality of two positive-definite matrices A and B, and we use this to propose several new computationally convenient statistical tests for the equality of two unknown positive-definite matrices. Our primary focus is on testing the information matrix...

This paper purports to show that formal criteria of fairness have limitations in securing fairness in a society in general and in the Korean social economy in particular. For this purpose, it offers equal opportunity, fair play in competition and objective evaluation as the formal criteria of...

Although the market prefers the Black-Scholes model, there are problems that the BS model doesn¡¯t reflect the skewness or kurtosis of the return distribution. Under the GEV model, Markose(2001) derives the closed-form solutions for vanilla options, and also removes the distortion of the...

We revisit the twofold identification problem discussed by Cho, Ishida, and White (Neural Computation, 2011), which arises when testing for neglected nonlinearity by artificial neural networks. We do not use the so-called ¡°no-zero¡± condition and employ a sixth-order expansion to obtain the...

This paper investigates the role of collateral constraints in the transmission of monetary policy shocks in a two-sector sticky price general equilibrium model with nondurable and durable goods. While many researchers have stressed the role of collateral constraints in one-sector sticky price...