In this paper we show that the exchange rates of some commodity exporter countries have the ability to predict the price of spot and future contracts of aluminum. This is shown with both in-sample and out-of-sample analyses. The theoretical underpinning of these results relies on the...

In studying the scale invariance of an empirical time series a twofold problem arises: it is necessary to test the series for self-similarity and, once passed such a test, the goal becomes to estimate the parameter H0 of self-similarity. The estimation is therefore correct only if the sequence...

We study the relationships between the real effective exchange rate (REER) of the Tunisian dinar and its determinants/fundamentals, i.e. the ratio of trade balance/GDP, the ratio of public consumption/GDP, the openness rate and the terms of trade. We find that in the most of cases, the variables...

In this paper, we study partial identification of the distribution of treatment effects of a binary treatment for ideal randomized experiments, ideal randomized experiments with a known value of a dependence measure, and for data satisfying the selection-on-observables assumption respectively....

In this paper, we first re-visit the inference problem for interval identified parameters originally studied in Imbens and Manski (2004) and later extended in Stoye (2008). We take the general criterion function approach and establish a new confidence interval that is asymptotically valid under...

This paper develops an innovative way of estimating a functional-coefficient spatial autoregressive panel data model with unobserved individual effects which can accommodate (multiple) time-invariant regressors in the model with a large number of cross-sectional units and a fixed number of time...

Dependent censoring arises in biomedical studies when the survival outcome of interest is censored by competing risks. In survival data with microarray gene expressions, gene selection based on the univariate Cox regression analyses has been used extensively in medical research, which however,...

This paper considers a flexible semiparametric spatial autoregressive (mixed-regressive) model in which unknown coefficients are permitted to be nonparametric functions of some contextual variables to allow for potential nonlinearities and parameter heterogeneity in the spatial relationship....

In this paper, we extend Bai and Perron's (1998, Econometrica, pp. 47-78) method for detecting multiple breaks to nonlinear models. To that end, we consider a nonlinear model that can be estimated via nonlinear least squares (NLS) and features a limited number of parameter shifts occurring at...