Statistical inference in nested linear models that result from linear restrictions on the parameters of encompassing linear models can be considered to result from the conditional distribution under the encompassing model. We extend this reasoning to nested models that result from general...

This book presents the theory of probability and mathematical statistics at a level suitable for researchers at the frontiers of applied disciplines. Examples and exercises make essential concepts in measure theory and analysis accessible to those with preparation limited to vector calculus....

AbstractThe following sections are included:IntroductionIntegrationIntegrals on Abstract Measure SpacesIntegrals on Sets of Real NumbersProperties of E(·)Expectations as Informative FunctionalsMoments of Random VariablesGenerating FunctionsConditional ExpectationMoments of Conditional...

The models in structured families correspond to the treatments of a fixed effects base design <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$$\pi $$</EquationSource> </InlineEquation>. Then the action of factors in <InlineEquation ID="IEq2"> <EquationSource Format="TEX">$$\pi $$</EquationSource> </InlineEquation>, on the fixed effects parameters of the models, is studied. Analyzing such a families enables the study of the action of nesting factors on the...</equationsource></inlineequation></equationsource></inlineequation>

We establish the equivalence between a commonly used out-of-sample test of equal predictive accuracy and the difference between two Wald statistics. This equivalence greatly simpli?es the computational burden of calculating recursive out-of-sample tests and evaluating their critical values. Our...

A procedure for testing the signicance of a subset of explanatory variables in a nonparametric regression is proposed. Our test statistic uses the kernel method. Under the null hypothesis of no effect of the variables under test, we show that our test statistic has a nhp2/2 standard normal...

Much research in health economics revolves around the analysis of hierarchically structured data. For instance, combining characteristics of patients with information pertaining to the general practice (GP) clinic providing treatment is called for in order to investigate important features of...

This paper examines financial market data to assess the likelihood of renminbi revaluation and its implications for Chinese share price increases, given the continuing appreciation of the Euro against the U.S. dollar. We find that the 3-month non-deliverable forward premia are key series linking...

Purpose – The purpose of this paper is to reconcile the multidimensional nature of poverty with a population's cultural conditioning for the purpose of policy evaluation. Design/methodology/approach – Structural equation modeling is the strategy used to compare nested models. Findings –...

This paper examines financial market data to assess the likelihood of Renminbi appreciation and its implications for Chinese financial markets, given the continuing volatility of the exchange rate between the US Dollar and the Japanese Yen. Using VAR and Bayesian VAR estimation, we find that the...