This paper considers regression-based test criteria for the hypothesis of conditional variance nonstationary in the logarithmic family of GARCH processes. The tests are based on teh ARMA representations that appropriate nonlinear transformations of GARCH-type processes admit. Simulation...

This paper presents new evidence about the information contained in the term structure about future inflation. Although the general finding in the literature is that the greater the time horizon the more information the term structure possesses about inflation, in this paper we show that the...

In this paper we introduce a unit root test for dynamic panel data models, allowing for cross-sectional heteroscedasticity and serial correlation in the disturbance term. The limiting distribution of the test statistic is derived under the assumption that the time dimension of the panel is...

In previous studies, measures of technical inefficiency derived from stochastic production frontiers have been estimated from residuals which are sensitive to specification errors. This study corrects for this inaccuracy by extending the doubly heteroscedastic stochastic cost frontier suggested...

Little attention has been given to the effects of functional form mis-specification on the estimation of stochastic frontier models and to the possibility of using backpropagation neural netwok as a flexible functional form to approximate the production or cost functions. This paper has two main...

Mikhail (1972a) found that estimated 2SLS biases, obtained through simulation using antithetic variables and control variate methods, were closer to each other than to Nagar's bias approximation to order T-1. As remarked by Kiviet and Phillips (1996), this result represents one of a very small...

In simultaneous equation models the two stage least squares (2SLS) estimator of the coefficients, though consistent, is biased in general and the nature of this bias has given rise to a good deal of research. However, little if any attention has been given to the bias that arises when an...

The expectations hypothesis of the term structure of interest rates implies that the spread between short and long bond yields should forecast next period's change in the long yield. Regression based tests have systematically rejected the expectations hypothesis, with estimated coefficients far...

We show that the bias of estimated parameters in autoregressive models can increase as the sample size grows. This unusual result is due to the effect of the initial sample observations that are typically neglected in theoretical asymptotoc analysis, in spite of their empirical relevance....

Testing for cointegration is now widespread in economics. Although the principle is sound, the practice has not always been so. In this note, an attempt is made to reveal flaws in some applied testing procedures. Incomplete nonstationary-null procedures make cointegration seem more likely than...