We propose a detailed Monte Carlo study of model selection criteria when the exact maximum likelihood (EML) method is used to estimate ARFIMA processes. More specifically, our object is to assess the performance of two automatic selection criteria in the presence of long-term memory: Akaike and...

In this paper we propose a stationary nonlinear dynamic functional coefficient panel data models with fixed effects and develops semiparametric estimation procedure using series approximation. Convergence rate and asymptotic distribution of the proposed series estimators are derived in which...

The current paper considers a linear regression framework with two endogenous regressors, but only one instrument that is correlated with both. I demonstrate that under reasonable conditions, some of which are testable from the data, these different sources of endogeneity act in opposing...

Knowledge of dependence pattern in stock market has paramount importance for both theoretical and practical in financial markets. Their usefulness is wide, can be used in portfolio predictability (of portfolio) and risk management. The aim of this paper is to investigate the autoregressive...

In this note, we examine the size and power properties and the break date estimation accuracy of the Lee and Strazicich (LS, 2003) two break endogenous unit root test, based on two different break date selection methods: minimising the test statistic and minimising the sum of squared residuals...

This note derives the bias of the quantile regression estimator in the presence of classical additive measurement error, and show its connection to least squares models. The bias structure suggests that the instrumental variables estimator proposed for least squares can be applied to the...

We derive expressions for the first-order bias of the MLE for a Poisson regression model and show how these can be used to adjust the estimator and reduce bias without increasing MSE. The analytic results are supported by Monte Carlo simulations and three illustrative empirical applications.

In applied research, the Schwarz Bayesian Information Criterion (BIC) and the F-test might yield different inferences about the causal relationships being investigated. This paper examines the relationship between the BIC and the F-tests in the context of Granger-causality tests. We calculate...

Structural breaks in relationships between macroeconomic and financial time series are likely a result of financial crises or local reforms. If such structural breaks exist, cointegration tests have to take them into account. Arai and Kurozumi (2007), Carrion-i-Silvestre and Sanso (2006) and...

The seminal analysis of Enders and Granger (1998) is extended to examine the properties of asymmetric unit root tests when the nature of the actual asymmetric adjustment process underlying the observed data is unknown. The analysis is further extended by considering joint testing for asymmetric...