This paper proposes a new test for simultaneous intraday jumps in a panel of high frequency financial data. We utilize intraday first-high-low-last values of asset prices to construct estimates for the cross-variation of returns in a large panel of high frequency financial data, and then employ...

In this paper we study a statistical method of implementing quasi-Bayes estimators for nonlinear and nonseparable GMM models, that is motivated by the ideas proposed in Chernozhukov and Hong (2003) and Creel and Kristensen (2011) and that combines simulation with nonparametric regression in the...

This paper presents a Markov chain Monte Carlo (MCMC) algorithm to estimate parameters and latent stochastic processes in the asymmetric stochastic volatility (SV) model, in which the Box-Cox transformation of the squared volatility follows an autoregressive Gaussian distribution and the...

We present a local linear estimator with variable bandwidth for multivariate nonparametric regression. We prove its consistency and asymptotic normality in the interior of the observed data and obtain its rates of convergence. This result is used to obtain practical direct plug-in bandwidth...

Despite the commonly held belief that aggregate data display short-run comovement, there has been little discussion about the econometric consequences of this feature of the data. We use exhaustive Monte-Carlo simulations to investigate the importance of restrictions implied by common-cyclical...

This paper investigates empirically the Balassa-Samuelson hypothesis (BSH) using annual data over 1970-2008 from 33 countries grouped into developed and developing countries. The innovative feature of our study is that we introduce a new approach for classifying traded and nontraded industries....

This paper considers a class of parametric models with nonparametric autoregressive errors. A new test is proposed and studied to deal with the parametric specification of the nonparametric autoregressive errors with either stationarity or nonstationarity. Such a test procedure can initially...

In this paper we propose a new methodology for selecting the window length in Singular Spectral Analysis in which the window length is determined from the data prior to the commencement of modeling. The selection procedure is based on statistical tests designed to test the convergence of the...

This study introduces, for the first time, the concept of item specific purchasing power parity (PPP) between countries that marks a significant departure from exercises such as the International Comparison Program (ICP). The paper proposes a methodology for the estimation of the item specific...

This paper proposes a simple and improved nonparametric unit-root test. An asymptotic distribution of the proposed test is established. Finite sample comparisons with an existing nonparametric test are discussed. Some issues about possible extensions are outlined.