This paper proposes a test for Lorenz dominance. Given independent samples of income or other welfare related variable, we propose a test of the null hypothesis that the Lorenz curve for one population is dominated by the Lorenz curve for a second population. The test statistic is based on the...

In this paper, we concentrate ourselves on Inclán and Tiao (1994)'s cusum test in regression models with ARCH errors. The ARCH and GARCH models have long been popular in financial time series analysis. For a general review, see Gouriéroux (1997).Inclán and Tiao (1994)'s cusum test was...

A quadratic function is frequently used in regression to infer the existence of an extremum in a relationship. Examples abound in fields such as economics, epidemiology and environmental science. However, most applications provide no formal test of the extremum. Here we compare the Delta method...

This article considers testing that a time series is uncorrelated when it possibly exhibits some form of dependence. Contrary to the currently employed tests that require selecting arbitrary user-chosen numbers to compute the associated tests statistics, we consider a test statistic that is very...

This paper investigates how conditional quantiles of a given distribution relate to each other. Given two conditional quantiles estimated nonparametrically, we investigate their relation by linking them through a parametric transformation. Asymptotic normality of the associated parameter vector...

The aim of this paper is to give a formal definition and consistent estimates of the extremes of a population. This definition relies on a threshold value that delimits the extremes and on the uniform convergence of the distribution of these extremes to a Pareto type distribution. The tail...

Understanding and forecasting financial time series depend crucially on identifying any non-linearity which may be present. Recent developments in tests for non-linearity very commonly display low power, most likely because of over-smoothing and discarding pertinent information. In this...

It has been a conventional wisdom that the two-sample version of the goodness-of-fit test like the Kolmogorov-Smirnov, Cramér-von Mises and Anderson-Darling tests fail to have good power particularly against very specific alternatives. We show that a modified version of Neyman Smooth test that...