This research proposes that, in cases where threshold covariates are either unavailable or difficult to observe, practitioners should treat these characteristics as latent, and use simulated maximum likelihood techniques to control for them. Two econometric frameworks for doing so in a more...

A semiparametric method is developed for estimating the dependence parameter and the joint distribution of the error term in the multivariate linear regression model. The nonparametric part of the method treats the marginal distributions of the error term as unknown, and estimates them by...

This paper is concerned with identifying an effective method for forecasting the lead time demand of slow-moving inventories. Particular emphasis is placed on prediction distributions instead of point predictions alone. It is also placed on methods which work with small samples as well as large...

This paper proposes a simple and improved nonparametric unit-root test. An asymptotic distribution of the proposed test is established. Finite sample comparisons with an existing nonparametric test are discussed. Some issues about possible extensions are outlined.

We reconsider the replication problem for contingent claims in a complete market under a general framework. Since there are various limitations in the Black-Scholes pricing formula, we propose a new method to obtain an explicit self-financing trading strategy expression for replications of...

In this paper, we study parametric nonlinear regression under the Harris recurrent Markov chain framework. We first consider the nonlinear least squares estimators of the parameters in the homoskedastic case, and establish asymptotic theory for the proposed estimators. Our results show that the...

A new approach to inference in state space models is proposed, based on approximate Bayesian computation (ABC). ABC avoids evaluation of the likelihood function by matching observed summary statistics with statistics computed from data simulated from the true process; exact inference being...

In this paper we quantify the impact of model mis-specification on the properties of parameter estimators applied to fractionally integrated processes. We demonstrate the asymptotic equivalence of four alternative parametric methods: frequency domain maximum likelihood, Whittle estimation, time...

Multi-step forecasts can be produced recursively by iterating a one-step model, or directly using a specific model for each horizon. Choosing between these two strategies is not an easy task since it involves a trade-off between bias and estimation variance over the forecast horizon. Using a...

This paper considers a general model specification test for nonlinear multivariate cointegrating regressions where the regressor consists of a univariate integrated time series and a vector of stationary time series. The regressors and the errors are generated from the same innovations, so that...