This paper proposes a new approach to modeling heteroskedastidty which enables the modeler to utilize information conveyed by data plots in making informed decisions on the form and structure of heteroskedasticity. It extends the well-known normal/linear/homoskedastic models to a family of...

One of the most important assumptions in empirical modeling is the constancy of the statistical model parameters which usually reflects the stationarity of the underlying stochastic process. In the 1980s and 1990s, the issue of nonstationarity in economic time series has been discussed in the...

Traditionally, financial theory and in particular asset pricing models have assumed (implicitly or explicitly) a certain probabilistic structure for speculative prices. The probabilistic structure is usually defined in terms of specific statistical models and relates to the dependence,...

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...

Statistical model specification and validation raise crucial foundational problems whose pertinent resolution holds the key to learning from data by securing the reliability of frequentist inference. The paper questions the judiciousness of several current practices, including the theory-driven...

The primary objective of this paper is to revisit a number of empirical modelling activities which are often characterized as data mining, in an attempt to distinguish between the problematic and the non-problematic cases. The key for this distinction is provided by the notion of...

The debate on whether macroeconomic series are trend or difference stationary, initiated by Nelson and Plosser [Nelson, C. R.; Plosser, C. I. (1982). Trends and random walks in macroeconomic time series: some evidence and implications. <italic>Journal of Monetary Economics</italic>10:139-162] remains unresolved....