This paper studies the smooth transition regression model where regressors are I(1) and errors are I(0). The regressors and errors are assumed to be dependent both serially and contemporaneously. Using the triangular array asymptotics, the nonlinear least squares estimator is shown to be...

According to the Sharpe-Lintner capital asset pricing model, expected rates of return on individual stocks differ only because of their different levels of non-diversifiable risk (beta). However, Fama/French (1992) show that the two variables size and book-to-market ratio capture the...

Alternative modeling strategies for specifying subset VAR models are considered. It is shown that under certain conditions a testing procedure based on t-ratios is equivalent to sequentially eliminating lags that lead to the largest improvement in a prespecified model selection criterion. A...

This Test Guideline describes an assay that assesses early life-stage effects and potential adverse consequences of putative endocrine disrupting chemicals (e.g. oestrogens, androgens and steroidogenesis inhibitors) on fish sexual development. In the test, fish are exposed, from newly fertilized...

This Test Guideline is designed to assess the toxicity of substances to freshwater aquatic plants of the genus Lemna (duckweed). Exponentially growing plant cultures of the genus Lemna (Lemna gibba and Lemna minor usually) are allowed to grow as monocultures in, at least, five concentrations of...

This Test Guideline describes the procedure for the electronic determination of pH of an undiluted aqueous solution or dispersion, the pH of a dilution of a solution or dispersion in water, or the pH of a chemical diluted to end-use concentration. It also describes procedures to determine acid...

The efficient market hypothesis implies that asset prices cannot be cointegrated. On the other hand, arbitrage processes prevent prices of fundamentally related assets from drifting far away. An attractive model that reconciles these two conflicting facts is the nonlinear error correction...

This paper tests the validity of Present Value (PV) models of stock prices by employing a two-step strategy for testing the null hypothesis of no cointegration against alternatives which are fractionally cointegrated. Monte Carlo simulations are conducted to evaluate the power and size...