A large number of nonlinear conditional heteroskedastic models have been proposed in the literature. Model selection is crucial to any statistical data analysis. In this article, we investigate whether the most commonly used selection criteria lead to choice of the right specification in a...

It is well known that in a vector autoregressive (VAR) model Granger non-causality is characterized by a set of restrictions on the VAR coefficients. This characterization has been derived under the assumption of non-singularity of the covariance matrix of the innovations. This note shows that...

To capture location shifts in the context of model selection, we propose selecting significant step indicators from a saturating set added to the union of all of the candidate variables. The null retention frequency and approximate non-centrality of a selection test are derived using a...

This paper discusses nonparametric kernel regression with the regressor being a \(d\)-dimensional \(\beta\)-null recurrent process in presence of conditional heteroscedasticity. We show that the mean function estimator is consistent with convergence rate \(\sqrt{n(T)h^{d}}\), where \(n(T)\) is...

We propose two tests for the equality of covariance matrices between two high-dimensional populations. One test is on the whole variance-covariance matrices, and the other is on offdiagonal sub-matrices which define the covariance between two non-overlapping segments of the high-dimensional...

Motivated by the latest effort to employ banded matrices to estimate a high-dimensional covariance Σ , we propose a test for Σ being banded with possible diverging bandwidth. The test is adaptive to the “large p , small n ” situations without assuming a specific parametric distribution for...

Iran’s agriculture part is one of the areas that can have an important effect on the growth of country’s economy. Concerning this, variables that can increase value added agriculture have been concentrated on and the government is supporting them. One of these policies is granting loanable...

A copula is best described, as in Joe (1997), as a multivariate distribution function that is used to bind each marginal distribution function to form the joint. The copula parameterises the dependence between the margins, while the parameters of each marginal distribution function can be...

Part II: Special Issue Dedicated to Robert E. Kalaba

This paper discusses inference for rational expectations models estimated via minimum distance methods by characterizing the probability beliefs regarding the data generating process (DGP) that are compatible with given moment conditions. The null hypothesis is taken to be rational expectations...