The Box-Cox (1964) transformation model is widely used in various fields of econometrics and statistics. Generally, the maximum likelihood estimator under the normality assumption (BC MLE) is used. However, the BC MLE is not consistent under heteroscedasticity, even if the “small...

We discuss the modeling of count data whose empirical distribution is both multi-modal and over-dispersed, and propose the Hermite distribution with covariates introduced through the conditional mean. The model is readily estimated by maximum likelihood, and nests the Poisson model as a special...

The maximum likelihood estimator (MLE) under the normality assumption of error terms is widely used to estimate the Box-Cox transformation model. However, since the error terms cannot be normally distributed, it is not a proper estimator. In other words, the estimator is inconsistent. In this...

I analyse the "spurious regression problem" from the Classical Regression Model (CRM) point of view. Simulations show that the autocorrelation corrections suggested by the CRM, e.g., feasible generalised least squares, solve the problem. Estimators are unbiased, consistent, efficient and deliver...

In this note we provide justification for some Monte Carlo results presented by Elder and Kennedy (2001). In particular we show that the severe size distortions observed by Elder and Kennedy are due to the presence of nuisance parameters in the data generation process, but ignored in the test...

This paper studies the estimation of time series regression when both regressors and disturbances have long memory. In contrast with the frequency domain estimation as in Robinson and Hidalgo (1997), we propose to estimate the same regression model with discrete wavelet transform (DWT) of the...

The properties of the 'change in persistence'' tests developed by Leybourne et al. (2003) are considered in the presence of structural change under the null. Interestingly, it is found that while breaks in drift result in undersizing, breaks in level lead to severe oversizing. The implications...

We address the issue of panel cointegration testing in dependent panels, showing by simulations that tests based on the stationary bootstrap deliver good size and power performances even with small time and cross-section sample sizes and allowing for a break at a known date. They can thus be an...

The relationship between the initial condition of time series data and the power of the Dickey-Fuller (1979) test and a number of modified Dickey-Fuller tests is examined. The results obtained extend the asymptotic analysis of Muller and Elliott (2003) by both focussing upon finite-sample power...

According to market heterogeneity hypothesis, financial markets are characterized by the presence of heterogeneity of participants with different sensibilities to different time scales. Although Wavelet based Value at Risk is able to represent dealing frequencies of market participants, it...