The asymptotic local powers of various panel unit root tests are investigated. The power envelope is obtained under homogeneous and heterogeneous alternatives. It is compared with asymptotic power functions of the pooled t-test, the Ploberger-Phillips (2002) test, and a point optimal test in...

This paper is concerned with evaluating value at risk estimates. It is well known that using only binary variables to do this sacrifices too much information. However, most of the specification tests (also called backtests) avaliable in the literature, such as Christoffersen (1998) and Engle and...

In semiparametric models it is a common approach to under-smooth the nonparametric functions in order that estimators of the finite dimensional parameters can achieve root-n consistency. The requirement of under-smoothing may result as we show from inefficient estimation methods or technical...

We show that the recently developed nonparametric procedure for fitting the term structure of interest rates developed by Linton, Mammen, Nielsen, and Tanggaard (2000) overall performs notably better than the highly flexible McCulloch (1975) cubic spline and Fama and Bliss (1987) bootstrap...