In this paper, we propose a test for coefficient stability of an AR(1) model against the random coefficient autoregressive model of order 1 neither assuming a stationary nor a non-stationary process under the null hypothesis of a constant coefficient. The proposed test is obtained as a...

In this paper, I propose a simple methodology for inferring the correlation between permanent and transitory shocks in unidentified unobserved components (UC) models, where the correlation is not identified. However, I show that there is an upper bound of the correlation implied from the...

Information matrix (IM) test (White, 1982) has been used for detecting general model misspecification in the applied econometrics literature. Two of the most commonly used asymptotic covariance matrix estimators (ACMEs) for the IM test are the one that White (1982) proposed in his original paper...

In this paper, we show that the sequential logit (SL) model, in which a choice process is characterized as a sequence of independent multinomial logit models, is a limiting case of the nested logit (NL) model. For testing the SL model against the NL model, we propose using the Wald, likelihood...

In this article, we develop the asymptotic theory of Hwang and Basawa (2005) for explosive random coefficient autoregressive (ERCA) models. Applying the theory, we prove that a locally best invariant (LBI) test in McCabe and Tremayne (1995), which is for the null of a unit root (UR) process...

The hypothesis that when firms obtain financing, they prefer internal sources to external sources is known as the pecking order hypothesis. We model firms' financing activities implied by the pecking order hypothesis by a sequential logit model. Then, we propose to test the pecking order...

In this paper, we consider the matrix vectorization operator termed the vecd operator, which has recently been introduced in the literature. This operator stacks up distinct elements of a symmetric matrix in a way that differs from that of the well-known vech operator; it stacks up not columns,...

Recently Chiba and Kobayashi (2013) have proposed the Lagrange multiplier (LM) test for the null hypothesis that volatilities of two asset return processes are driven by only one stochastic volatility (SV) process in a bivariate SV model. They apply their LM test to Asian stock market index...

We call the realized variance (RV) calculated with observed prices contaminated by microstructure noises (MNs) the noise-contaminated RV (NCRV) and refer to the component in the NCRV associated with the MNs as the MN component. This paper develops a method for estimating the integrated variance...