We develop inference tools in a semiparametric regression model with missing response data. A semiparametric regression imputation estimator, a marginal average estimator and a (marginal) propensity score weighted estimator are defined. All the estimators are proved to be asymptotically normal,...

This paper derives asymptotic power functions for Cramer-von Mises (CvM) style tests for conditional moment inequality models in the set identified case. Combined with power results for Kolmogorov-Smirnov (KS) tests, these results can be used to choose the optimal test statistic, weighting...

In the context of long memory, the finite-sample distortion of statistic distributions is so large, that bootstrap confidence intervals (percentile and percentile-t) for the long memory parameter do not perform better than the corresponding asymptotic confidence interval. In this paper, we...

Understanding and forecasting financial time series depend crucially on identifying any non-linearity which may be present. Recent developments in tests for non-linearity very commonly display low power, most likely because of over-smoothing and discarding pertinent information. In this...

In this paper, the relation of asymmetric conditional volatility to market agents' information perception ability is built and positively tested. Liquidity dry-ups during extreme market conditions, that, due to investors' risk aversion, are more pronounced during negative than positive news...

The paper tests if the theory known as Pecking Order Theory provides empirical explanation for the capital structure of Brazilian firms. According to this theory, the capital structures would result from a hierarchy of financial decisions where internally generated resources would have first...

We show that the parameters of the DCC-GARCH model, proposed by Engle (2001) and by Engle and Sheppard (2001), can be derived from the estimated parameters of a VARMA model of the average conditional correlation process. This makes their estimation much easier

Until recently, since Jobson amp; Korkie (1981) derivations of the asymptotic distribution of the Sharpe ratio that are practically useable for generating confidence intervals or for conducting one- and two-sample hypothesis tests have relied on the restrictive, and now widely refuted,...

This paper derives a method for estimating and testing the Linear Quadratic Adjustment Cost (LQAC) model when the target variable and some of the forcing variables follow I(2) processes. Based on a forward-looking error-correction formulation of the model it is shown how to obtain strongly...

The paper concerns the convergence of selected world stock exchanges from the point of view of their development in the context of geographical and economic distance between them. It presents the methodological approach which points up the necessity of taking into account spatial and economic...