This paper uses three different Malmquist Productivity Index (MPI) decompositions to measure Greek seaports’ productivity for the time period 2006-2010. In addition bootstrap techniques are applied in order for confidence intervals of the MPIs and their components to be constructed and...

This paper investigates the timing abilities of Australian managed fund managers. To examine timing abilities, the cross-sectional bootstrap approach is adopted to determine whether timing ability is due to skill or luck. Based on three alternative timing measures, we find that top-ranked...

The constrained estimation in Cox’s model for the right-censored survival data is studied and the asymptotic properties of the constrained estimators are derived by using the Lagrangian method based on Karush–Kuhn–Tucker conditions. A novel minorization–maximization (MM) algorithm is...

We discuss some inference problems associated with the fractional Ornstein–Uhlenbeck (fO–U) process driven by the fractional Brownian motion (fBm). In particular, we are concerned with the estimation of the drift parameter, assuming that the Hurst parameter <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$$H$$</EquationSource> <EquationSource Format="MATHML"> <math xmlns:xlink="http://www.w3.org/1999/xlink"> <mi>H</mi> </math> </EquationSource> </InlineEquation> is known and is in <InlineEquation ID="IEq2"> <EquationSource...</equationsource></inlineequation></equationsource></equationsource></inlineequation>

Nonlinear modeling of adjustments to purchasing power parity has recently gained much attention. However, a huge body of the empirical literature applies ESTAR models and neglects the existence of other competing nonlinear models. Among these, the Markov Switching AR model has a strong...

Okun’s law postulates a negative relationship between movements of the unemployment rate and the real gross domestic product (GDP). This article investigates the link between the real GDP growth and unemployment, as described by Okun’s law. For this purpose we have used time series annual...

We examine both the degree and the structural stability of inflation persistence at different quantiles of the conditional inflation distribution. Previous research focused exclusively on persistence at the conditional mean of the inflation rate. As economic theory provides reasons for inflation...

This paper revisits empirical evidence of mean reversion of relative stock prices in international stock markets. We implement a strand of univariate and panel unit root tests for linear and nonlinear models of 18 national stock indices during the period 1969 to 2012. Our major findings are as...

We examine both the degree and the structural stability of inflation persistence at different quantiles of the conditional inflation distribution. Previous research focused exclusively on persistence at the conditional mean of the inflation rate. As economic theory provides reasons for inflation...

There is a growing literature on unit root testing in threshold autoregressive models. This paper makes two contributions to the literature. First, an asymptotic theory is developed for unit root testing in a threshold autoregression, in which the errors are allowed to be dependent and...