Quadratic functions are often used in regression to infer the existence of an extremum in a relationship although tests of the location of the extremum are rarely performed. We investigate the construction of the following confidence intervals: Delta, Fieller, estimated first derivative,...

The Gram-Charlier expansion, where skewness and kurtosis directly appear as parameters, has become popular in Finance as a generalization of the normal density. We show how positivity constraints can be numerically implemented, thereby guaranteeing that the expansion defines a density. The...

In a recent study, Beccarini showed that one can eliminate or reduce the bias in OLS regression estimators caused by an omitted polychotomous variable by estimating a regime-switching model. If the missing polychotomous variable assumes K values, then elimination or reduction of the bias...

We develop a new method to estimate the parameters of threshold distributions for market participation based upon an agent-specific attribute and its decision outcome. This method requires few behavioral assumptions, is not data demanding, and can adapt to various parametric distributions. Monte...

We propose marginal integration estimation and testing methods for the coefficients of varying coefficient multivariate regression model. Asymptotic distribution theory is developed for the estimation method which enjoys the same rate of convergence as univariate function estimation. For the...

In econometric theory an important problem of estimation is the appearance of autocorrelation and of course the solution of it so that we will be able get off the problem of the autocorrelation from the old model ant to conduct to a new econometric model to forecast the prises in the future as...

This paper provides a survey of the recent literature dealing with I(2) variables in economic time series, that is, processes that require to be differenced twice in order to become stationary. With reference to particular models intuition is provided of why I(2) and polynomial cointegration are...

Infra-monthly time series have increasingly appeared on the radar of official statistics in recent years, mostly as a consequence of a general digital transformation process and the outbreak of the COVID-19 pandemic in 2020. Many of those series are seasonal and thus in need for seasonal...

We derive the asymptotic sampling distribution of various estimators frequently used to order distributions in terms of poverty, welfare and inequality. This includes estimators of most of the poverty indices currently in use, as well as estimators of the curves used to infer stochastic...