We develop the relationship between the stepwise F-test model selection criteria and information-based criteria for orthogonal regression models. We obtain the asymptotic properties of the stepwise F-tests with respect to efficiency and consistency. The performances of F-test as well as other...

When it is reasonable to assume that a model exhibits smoothness, goodness-of-fit statistics can be constructed that have higher power to detect deviations from a specified parametric model than tests based only on the empirical distribution. Recently Azzalini, Bowman and Härdle (1989) proposed...

We use a data set from market participants in the Taiwan Stock Exchange Capitalization Weighted Stock Index options markets to demonstrate a strong positive relationship between prior trading outcomes and subsequent risk taking. In particular, investors in this market take above-average risks in...