This paper examines the steady state properties of the Threshold Vector Autoregressive model. Assuming that the trigger variable is exogenous and the regime process follows a Bernoulli distribution, necessary and sufficient conditions for the existence of stationary distribution are derived. A...

The primary aim of the paper is to place current methodological discussions in macroeconometric modeling contrasting the 'theory first' versus the 'data first' perspectives in the context of a broader methodological framework with a view to constructively appraise them. In particular, the paper...

Introduction: Common approaches in cost-effectiveness analyses do not adjust for confounders. In nonrandomized studies this can result in biased results. Parametric models such as regression models are commonly applied to adjust for confounding, but there are several issues which need to be...

In this paper we propose a test for a set of linear restrictions in a Vector Autoregressive Moving Average (VARMA) model. This test is based on the autoregressive metric, a notion of distance between two univariate ARMA models, M0 and M1, introduced by Piccolo in 1990. In particular, we show...

Studying women's entrepreneurial intentions is critical not only for encouraging women's entrepreneurship but also for developing their entrepreneurial competencies. However, in the case of Lebanon, there is still a gap in the scientific studies related to identifying factors influencing women's...

After more than a decade of existence, crypto-currencies may now be considered an important class of assets presenting some unique appealing characteristics but also sharing some features with real financial assets. This paper provides a comprehensive statistical analysis of the six most...

This paper attempts a re-examination of the relationship between the output volatility and economic growth using an annual data set for select 67 countries for the period 1978 to 2017 spanning over 40 years. Towards this objective cross section and panel, regressions are estimated for different...

Management of financial risks and sound decision making rely on the accurate information and predictive models. Drawing useful information efficiently from big data with complex structures and building accurate models are therefore crucial tasks. Most commonly used methods for statistical...