In this study we use both the structural break model and duration dependent transition model to study the characteristics of China's GDP growth from 1953 to 2009. The empirical results show that China's economic growth had become more stable since the economic reform in the end of the 1970s, and...

We propose a portfolio selection model based on a generalized hyperbolic predictive distribution. This distribution incorporates uncertainties in mean and volatility of market returns. We then select an optimal portfolio with expected utility calculated under the predictive distribution. We...

In this paper, we conduct a comprehensive study of tests for mean-variance spanning. Under the regression framework of Huberman and Kandel (1987), we provide geometric interpretations not only for the popular likelihood ratio test, but also for two new spanning tests based on the Wald and...

A wide range of econometric and statistical models are specified through moment conditions. Efficient estimation of such models essentially employs two distinct ideas: optimally combining estimation equations (e.g., the optimal estimating equations of Godambe (1976), the generalized method of...

Much is written about the use of factors estimated by the method of principal components from large panels in linear regression models. In this paper, we provide an analysis for non-linear estimation and establish the conditions under which the estimated factors can be treated as though they...

We study the daily return distributions for 22 industry stock indexes on the Tai-wan Stock Exchange under the unconditional homoskedastic independent, identically distributed and the conditional heteroskedastic GARCH models. Two distribution hypotheses are tested: the Gaussian and the stable...

To facilitate wide use of the bootstrap method in finance, this paper shows by intuitive arguments and by simulations how it can improve upon existing tests to allow less restrictive distributional assumptions on the data and to yield more reliable (higher-order accurate) asymptotic inference....

Lee (2003) proposed for spatial autoregressive (SAR) model the best spatial two-stage least squares estimator (BS2SLSE) as an improvement on Kelejian and Prucha (1998)¡¯s S2SLSE. In this paper, we show that one more step iteration based on BS2SLSE gives a spatial counterpart of the three-stage...

Using data from the Tokyo Stock Exchange, we study how beta, size, and ratio of book to market equity (BE/ME) account for the cross-section of expected stock returns over different lengths of investment horizons. We find that $\beta$, adjusted for infrequent trading or not, fails to explain the...

This paper analyzes vector autoregressive models (VAR) with multiple structural changes. One distinct feature of this paper is the explicit consideration of structural changes in the variance-covariance matrix, in addition to changes in the autoregressive coefficients. The model is estimated by...