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Power of tests for nonlinear transformation in regression analysis

Kobayashi, Masahito - In: Econometric theory 10 (1994) 2, pp. 357-371

Persistent link: https://www.econbiz.de/10001164903

Testing for volatility jumps in the stochastic volatility process

Kobayashi, Masahito - In: Asia-Pacific financial markets 12 (2005) 2, pp. 143-157

Persistent link: https://www.econbiz.de/10003378339

Analytical power comparisons of nested and nonnested tests for linear and loglinear regression models

Kobayashi, Masahito; McAleer, Michael - In: Econometric theory 15 (1999) 1, pp. 99-113

Persistent link: https://www.econbiz.de/10001381815

A bounds test for equality between sets of coefficients in two linear regression models under heteroscedasticity

Ohtani, Kazuhiro - In: Econometric theory 2 (1986) 2, pp. 220-231

Persistent link: https://www.econbiz.de/10001072736

Testing for autocorrelated disturbances in nonlinear regression analysis

Kobayashi, Masahito - In: Econometrica : journal of the Econometric Society, an … 59 (1991) 4, pp. 1153-1159

Persistent link: https://www.econbiz.de/10001108572

Testing for a single-factor stochastic volatility in bivariate series

Chiba, Masaru; Kobayashi, Masahito - In: Journal of risk and financial management : JRFM 6 (2013) 1, pp. 31-61

This paper proposes the Lagrange multiplier test for the null hypothesis thatthe bivariate time series has only a single common stochastic volatility factor and noidiosyncratic volatility factor. The test statistic is derived by representing the model in alinear state-space form under the...

Persistent link: https://www.econbiz.de/10011555751

Testing the sequential logit model against the nested logit model

Nagakura, Daisuke; Kobayashi, Masahito - In: The Japanese economic review : the journal of the … 60 (2009) 3, pp. 345-361

Persistent link: https://www.econbiz.de/10003882767

Analyzing the EU sovereign debt crisis by a new asymmetric copula with reversible correlations

Kobayashi, Masahito; Chen, Jinghui - In: Applied economics 54 (2022) 56, pp. 6497-6509

Persistent link: https://www.econbiz.de/10013411390