In this paper we discuss several aspects of simulation based Bayesian econometric inference. We start at an elementary level on basic concepts of Bayesian analysis; evaluating integrals by simulation methods is a crucial ingredient in Bayesian inference. Next, the most popular and well-known...

This paper develops a consistent test of best Lp-predictor functional form for a time series process. By functionally relating two moment conditions with different nuisance parameters we are able to construct a vector moment condition in which at least one element must be non-zero under the...

In this paper we develop tests of functional form that are consistent against a class of nonlinear "smooth transition" models of the conditional mean. Our method is an extension of the consistent model specification tests developed by Bierens (1990), de Jong (1996) and Bierens and Ploberger...

This paper is an attempt to introduce the essence and methodology of Artificial Neural Networks (ANN) in marketing. In order to outline the benefits of their analytical application in marketing management, it is demonstrated how to solve a predictive problem applying one of the most widely used...

We provide mathematical proofs for the results in "Testing Linearity Using Power Transforms of Regressors" by Baek, Cho, and Phillips (2014).

This paper shows that a multiple regression with two highly correlated explanatory variables, both of them with a near zero correlation with the dependent variable may correspond to a spurious regression or to a homeostatic model, with estimates highly sensible to outliers. The regression method...