We consider the class of graphs containing no odd hole, no odd antihole and no configuration consisting of three paths between two nodes such that any two of the paths induce a hole and at least two of the paths are of length 2. This class generalizes claw-free Berge graphs and square-free Berge...

I introduce the new mgof command to compute distributional tests for discrete (categorical, multinomial) variables. The command supports large-sample tests for complex survey designs and exact tests for small samples as well as classic large-sample Chi^2-approximation tests based on Pearson’s...

A new Stata command called -mgof- is introduced. The command is used to compute distributional tests for discrete (categorical, multinomial) variables. Apart from classic large sample $\chi^2$-approximation tests based on Pearson's $X^2$, the likelihood ratio, or any other statistic from the...

We consider the class of graphs containing no odd hole, no odd antihole and no configuration consisting of three paths between two nodes such that any two of the paths induce a hole and at least two of the paths are of length 2. This class generalizes claw-free Berge graphs and square-free Berge...

The selection problem among models for the seasonal behavior in time series is considered. The central decision of interest is between models with seasonal unit roots and with deterministic cycles. In multivariate models, also the number of stochastic seasonal factors is a discrete parameter of...

Several approaches for subset recovery and improved forecasting accuracy have been proposed and studied. One way is to apply a regularization strategy and solve the model selection task as a continuous optimization problem. One of the most popular approaches in this research field is given by...

We derive new results on the asymptotic behavior of the estimated parameters of a linear asset pricing model and their associated t-statistics in the presence of a factor that is independent of the returns. The inclusion of this useless factor in the model leads to a violation of the full rank...

This paper presents a general statistical framework for estimation, testing, and comparison of asset pricing models using the unconstrained distance measure of Hansen and Jagannathan (1997). The limiting results cover both linear and nonlinear models that could be correctly specified or...

The GARCH(1,1) model and its extensions have become a standard econometric tool for modeling volatility dynamics of financial returns and port-folio risk. In this paper, we propose an adjustment of GARCH implied conditional value-at-risk and expected shortfall forecasts that exploits the...

We use data generated by a macroeconomic DSGE model to study the relative benefits of forecast combinations based on forecast-encompassing tests relative to simple uniformly weighted forecast averages across rival models. Assumed rival models are four linear autoregressive specifications, one of...