The objective of this research is to introduce in literature new measures of accuracy for point forecasts (radical of order n of the mean of squared errors, mean for the difference between each predicted value and the mean of the effective values, ratio of radicals of sum of squared errors...

This paper improves a kernel-smoothed test of symmetry through combining it with a new class of asymmetric kernels called the generalized gamma kernels. It is demonstrated that the improved test statistic has a normal limit under the null of symmetry and is consistent under the alternative. A...

This study compares the size and power of autoregressive conditional heteroskedasticity (ARCH) tests that are robust to the presence of a misspecified conditional mean. The approaches employed are based on two nonparametric regressions for the conditional mean: an ARCH test with a...

We propose a new specification test for assessing the validity of fuzzy regression discontinuity designs (FRD‐validity). We derive a new set of testable implications, characterized by a set of inequality restrictions on the joint distribution of observed outcomes and treatment status at the...

This paper is concerned with estimation of functionals of a latent weight function that satisfies possibly high‐dimensional multiplicative moment conditions. Main examples are functionals of stochastic discount factors in asset pricing, missing data problems, and treatment effects. We propose...

The purpose of this research is to investigate the weak form of market efficiency of Asian four selected stock markets. We have taken a daily closing price of stock markets under the study from the 1st January 2000 to 31st March 2011 and also divided full sample in three interval periods, and...

The goal of this paper is to search for conclusive evidence against the stationarity of the global air surface temperature, which is one of the most important indicators of climate change. For this purpose, possible long-range dependencies are investigated in the frequency-domain. Since...

In this paper, we study the asymptotic behavior of the sequential empirical process and the sequential empirical copula process, both constructed from residuals of multivariate stochastic volatility models. Applications for the detection of structural changes and specification tests of the...

This paper studies inference in randomized controlled trials with covariate‐adaptive randomization when there are multiple treatments. More specifically, we study in this setting inference about the average effect of one or more treatments relative to other treatments or a control. As in...