In this paper, we propose a new noncausal vector autoregressive (VAR) model for non-Gaussian time series. The assumption of non-Gaussianity is needed for reasons of identifiability. Assuming that the error distribution belongs to a fairly general class of elliptical distributions, we develop an...

The sample skewness and kurtosis of macroeconomic and financial time series are routinely scrutinized in the early stages of model-building and are often the central topic of studies in economics and finance. Notwithstanding the availability of several robust estimators, most scholars in...

We study the performance of tests of distributional symmetry based on the coefficient of skewness and on L-moments and present a bootstrap implementation of such tests that is suitable in time series applications. We show with Monte Carlo simulations that both tests are correctly sized –...

We propose simple specification tests for independent component analysis and structural vector autoregressions with non-Gaussian shocks that check the normality of a single shock and the potential cross-sectional dependence among several of them. Our tests compare the integer (product) moments...

We propose various semiparametric estimators for nonlinear selection models, where slope and intercept can be separately identifed. When the selection equation satisfies a monotonic index restriction, we suggest a local polynomial estimator, using only observations for which the marginal...

We consider the detection of multiple outliers in Exponential and Pareto samples -- as well as general samples that have approximately Exponential or Pareto tails, thanks to Extreme Value Theory. It is shown that a simple "robust'' modification of common test statistics makes inward sequential...

This note solves the puzzle of estimating degenerate Wishart Autoregressive processes, introduced by Gourieroux, Jasiak and Sufana (2009) to model multivariate stochastic volatility. It derives the asymptotic and empirical properties of the Method of Moment estimator of the Wishart degrees of...

We introduce a smooth transition Generalized Pareto (GP) regression model to study the link between extreme losses and the economic context. The advantage of our approach consists in specifying a time-varying dependence structure between financial factors and the severity distribution of the...