In two recent papers, Granger and Ding (1995a, b) considered long return series that are first differences of logarithmed price series or price indices. They established a set of temporal and distributional properties for such series and suggested that the returns are well characterized by the...

Parametric mixture models are commonly used in applied work, especially empirical economics, where these models are often employed to learn for example about the proportions of various types in a given population. This paper examines the inference question on the proportions (mixing probability)...

Parametric mixture models are commonly used in applied work, especially empirical economics, where these models are often employed to learn for example about the proportions of various types in a given population. This paper examines the inference question on the proportions (mixing probability)...

This paper derives the corrected conditional Akaike information criteria for generalized linear mixed models by analytic approximation and parametric bootstrap. The sampling variation of both fixed effects and variance component parameter estimators are accommodated in the bias correction term....

A general method is proposed for the construction of valid simultaneous confidence sets in the context of stationary GARCH models. The proposed method proceeds by numerically inverting the conventional likelihood ratio test. In order to hedge against the risk of a spurious rejection, candidate...

Under model correctness, highly accurate inference on a scalar interest parameter in the presence of a nuisance parameter can be achieved by several routes, among them considering the bootstrap distribution of the signed root likelihood ratio statistic. The context of model mis-specification is...

The empirical best linear unbiased predictor (EBLUP) in the linear mixed model (LMM) is useful for the small area estimation, and the estimation of the mean squared error (MSE) of EBLUP is important as a measure of uncertainty of EBLUP. To obtain a second-order unbiased estimator of the MSE, the...

The empirical Bayes (EB) estimator or empirical best linear unbiased predictor (EBLUP) in the linear mixed model (LMM) is useful for the small area estimation in the sense of increasing the precision of estimation of small area means. However, one potential difficulty of EB is that when...

Consider the problem of testing a linear hypothesis of regression coefficients in a general linear regression model with a covariance matrix involving several nuisance parameters. Then, the Bartlett-type adjustments of the Wald, Score, and modified Likelihood Ratio tests are derived for general...

Modified MIR is a Monte-Carlo algorithm used for bootstrapping minimum information ratios in order to assess the number of unknown components in finite mixtures. The method was proposed as a modification of the minimum information ratio (MIR) method, and was proved to outperform it. Further...