This paper addresses the specification of the econometric models used in the paper “Level of Development, Rate of Economic Growth, and Income Inequality†by Jih Y. Chang and Rati Ram (2000). We find that when accounting for regional heterogeneity, the Kuznets hypothesis no longer...

We study Kolmogorov-Smirnov goodness of fit tests for evaluating distributional hypotheses where unknown parameters need to be fitted. Following work of Pollard (1979), our approach uses a Cramér-von Mises minimum distance estimator for parameter estimation. The asymptotic null distribution of...

For some, the income distribution is the first example of a power law, empiric rule whereof an random variable reaches high values with a low probability and low values with a high probability. This article corroborates if the income distribution of the richest Colombians adjusts to a power law....

In this paper we analyse bootstrap procedures for systems cointegration tests with a prior adjustment for deterministic terms suggested by Saikkonen & Lüutkepohl (2000b) and Saikkonen,Lütkepohl & Trenkler (2006). The asymptotic properties of the bootstrap test procedures are derived and their...

From a banking supervisory perspective, this paper analyses aspects of market risk of anaggregated trading portfolio comprised of the trading books of 11 German banks with aregulatory approved internal market risk model. Based on real, clean prot and loss dataand Value-at-Risk estimates of the...

We study the robustness of block resampling procedures for time series. We first derive a setof formulas to quantify their quantile breakdown point. For the block bootstrap and the sub-sampling, we find a very low quantile breakdown point. A similar robustness problem arisesin relation to...

Macroeconomic time series often involve a threshold effect in theirARMA representation, and exhibit long memory features. In this paperwe introduce a new class of threshold ARFIMA models to account forthis. The threshold effect is introduced in the autoregressive and/or thefractional integration...

We introduce a new jackknife variance estimator for panel-data regressions. Our variance estimator can be motivated as the conventional leave-one-out jackknife variance estimator on a transformed space of the regressors and residuals using orthonormal trigonometric basis functions. We prove the...

After more than 20 years of European Monetary Union (EMU), surprisingly few scientific studies exist which study the growth effects of introducing a common currency in large parts of the European Union. I do so using a large panel (NUTS3 data) of regional data for the EU-15. Some 800 (treated)...

A Bartlett-type formula is proposed for the asymptotic distribution of the sample autocorrelations of nonlinear processes. The asymptotic covariances between sample autocorrelations are expressed as the sum of two terms. The first term corresponds to the standard Bartlett's formula for linear...