Present value calculations require predictions of cash flows both at near and distant future points in time. Such predictions are generally surrounded by considerable uncertainty and may critically depend on assumptions about parameter values as well as the form and stability of the data...

In this paper, we suggest a similar unit root test statistic for dynamic panel data with fixed effects. The test is based on the LM, or score, principle and is derived under the assumption that the time dimension of the panel is fixed, which is typical in many panel data studies. It is shown...

This paper extends and generalizes the BDS test presented by Brock, Dechert, Scheinkman, and LeBaron (1996). In doing so it aims to remove the limitation of having to arbitrarily select a proximity parameter by integrating across the correlation integral. The Monte Carlo simulation is used to...

In this paper we present a parsimonious multivariate model for exchange rate volatilities based on logarithmic high-low ranges of daily exchange rates. The multivariate stochastic volatility model decomposes the log range of each exchange rate into two independent latent factors, which could be...

This paper reconsiders the nonlinearity test proposed by Koc-super-˘enda (Koc-super-˘enda, E. (2001). An alternative to the BDS test: integration across the correlation integral. Econometric Reviews20:337-351). When the analyzed series is non-Gaussian, the empirical rejection rates can be much...