This paper considers estimation and inference for varying-coefficient models with nonstationary regressors. We propose a nonparametric estimation method using penalized splines, which achieves the same optimal convergence rate as kernel-based methods, but enjoys computation advantages. Utilizing...

We suggest a robust form of conditional moment test as a constructive test for functional misspecification in multiplicative error models. The proposed test has power solely against violations of the conditional mean restriction but is not affected by any other type of model misspecification....

This paper studies the robust estimation and inference of threshold models with integrated regres- sors. We derive the asymptotic distribution of the profiled least squares (LS) estimator under the diminishing threshold effect assumption that the size of the threshold effect converges to zero....

This paper concerns goodness-of-fit test for semiparametric copula models. Our contribution is two-fold: we first propose a new test constructed via the comparison between in-sample and out-of-sample pseudolikelihoods, which avoids the use of any probability integral transformations. Under the...

We consider the problem of estimating the fractional order of a L´evyprocess from low frequency historical and options data. An estimationmethodology is developed which allows us to treat both estimation andcalibration problems in a unified way. The corresponding procedureconsists of two steps:...

In this note we establish the existence of the first two moments of the asymptotic tracestatistic, which appears as weak limit of the likelihood ratio statistic for testing the cointe-gration rank in a vector autoregressive model and whose moments may be used to developpanel cointegration tests....

The purpose of this paper is to propose a new likelihood-based panel cointegration testin the presence of a linear time trend in the data generating process. This new test is an extensionof the likelihood ratio (LR) test of Saikkonen & L¨utkepohl (2000) for trend-adjusteddata to the panel data...

Based on the theory of multiple statistical hypothesis testing, we elaborate simultaneous statistical inference methods in dynamic factor models. In particular, we employ structural properties of multivariate chi-squared distributions in order to construct critical regions for vectors of...

At least since [1], a broad class of multiple comparison procedures, so-called simultaneous test procedures (STPs), is established in the statistical literature. Elements of an STP are a testing family, consisting of a set of null hypotheses and corresponding test statistics, and a common...

To evaluate how occurring critical incidents change customer perceptions of brand personality, this study measures the impact on the basis of an online experiment. For this purpose, 1,132 usable responses are gathered considering the smartphone brands of Apple and Nokia as well as different...