We propose non-nested hypotheses tests for conditional moment restriction models based on the method of generalized empirical likelihood (GEL). By utilizing the implied GEL probabilities from a sequence of unconditional moment restrictions that contains equivalent information of the conditional...

This paper investigates the asymptotic properties of a simple empirical-likelihood-based inference method for discontinuity in density. The parameter of interest is a function of two one-sided limits of the probability density function at (possibly) two cut-off points. Our approach is based on...

In order to better capture empirical phenomena, research on option price and implied volatility modeling increasingly advocates the use of nonparametric methods over simple functional forms. This, however, comes at a price, since these methods require dense observations to yield sensible...

A mathematical expression known as Benford's law provides an example of an unexpected relationship among randomly selected first significant digits (FSD). Newcomb (1881), and later Benford (1938), conjectured that FSDs would exhibit a weakly monotonic distribution and proposed a frequency...