This paper develops a simple sequential multiple horizon non-causation test strategy for trivariate VAR models (with one auxiliary variable). We apply the test strategy to a rolling window study of money supply and real income, with the price of oil, the unemployment rate and the spread between...

Motivated by economic-theory concepts—the Fisher hypothesis and the theory of the term structure—we consider a small set of simple bivariate closed-loop time-series models for the prediction of price inflation and of long- and short-term interest rates. The set includes vector...

This paper introduces a Lagrange Multiplier (LM) test for testing an autoregressive structure in a binary time series model proposed by Kauppi and Saikkonen (2008). Simulation results indicate that the two versions of the proposed LM test have reasonable size and power properties when the sample...

This note investigates the behavior of stochastic dominance tests of censored distributions which are dependent on nuisance parameters. In particular, we consider finite mixture distributions that are subject to exogenous censoring. To deal with this potential problem, critical values of the...

Sequence data from a series of homologous DNA segments from related organisms are typically polymorphic at many sites, and these polymorphisms are the result of evolutionary processes. Such data may be used to estimate the substitution rates as well as the variability of these rates. Careful...

Properties of a specification test for the parametric form of the variance function in diffusion processes dXt = b (t,Xt) dt + sigma (t,Xt) dWt are discussed. The test is based on the estimation of certain integrals of the volatility function. If the volatility function does not depend on the...