Abstract This paper proposes tests for equality of the mean regression (MR) and quantile regression (QR) coefficients. The tests are based on the asymptotic joint distribution of the ordinary least squares and QR estimators. First, we formally derive the asymptotic joint distribution of these...

Abstract We provide formulae for calculating approximate p-values for the non-standard asymptotic null distributions of a variety of tests used for detecting multiple structural change in a wide range of models. Our approximations are based on simulated quantiles obtained from 100,000...

Summary In this paper we study the integer-valued autoregressive model, which belongs to the class of thinning models with count data.We mainly focus on the random coefficient integer-valued autoregressive (RCINAR) model and propose a conditional least absolute deviation (CL 1 ) method to...

We investigate asymmetries in the conditional mean dynamics of four sectors of the U.S. GDP data. Since the statistical evidence on nonlinearities in the conditional mean could be influenced by the presence of outliers, or by a failure to model conditional heteroskedasticity, we explicitly...

We show that a class of microeconomic behavioral models with interacting agents, derived from Kirman (1991) and Kirman (1993), can replicate the empirical long-memory properties of the two first-conditional moments of financial time series. The essence of these models is that the forecasts and...

Summary Despite the fact that many aggregates are nonlinear functions and the aggregation weights of many macroeconomic aggregates are time-varying, much of the literature on forecasting aggregates considers the case of linear aggregates with fixed, time-invariant aggregation weights. In this...