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...

In this paper, we consider efficient estimation of coefficients of interest in seemingly unrelated regressions (SUR) models. Using the GMM interpretation of the usual OLS and GLS/FGLS estimation of regression coefficients in SUR models, we derive the necessary and sufficient condition for the...

The study analyzes the performance of the Zheng test for functional form in different scenarios concerning the distribution approximation of the test statistic. We apply the test statistic for validating simple wage functions.

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...

In this note we propose the artificial neural networks for measuring efficiency as a complementary tool to the common techniques of the efficiency literature. In the application to the public sector we find that the neural network allows to conclude more robust results to rank decision-making units.

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...

This study refers to the earlier work of analysis in the frequency domain. A different definition of causality is made, and its implications to the general idea of causality are discussed. The causality relationship between two monetary aggregates, simple sum and Divisia indices, and their...

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...

It is often underlined that African oil producing countries are politically unstable as a result of this natural resource. Based on the data relating to the duration in office of 101 heads of States exercises of power of 26 African countries (North Africa and Sub-Saharan Africa), our study finds...

This article studies the correlation and volatility transmission between the European sovereign debt markets during the period of 2008-2013. By applying a multivariate GARCH model and a flight-to-quality test, the empirical results support not only the existence of flight-to-quality from the...