This paper provides a test of convexity of a regression function. This test is based on the least squares splines. The test statistic is shown to be asymptotically of size equal to the nominal level, while diverging to infinity if the convexity is misspecified. Therefore, the test is consistent...

This paper considers estimation and inference for varying-coefficient models with nonstationary regressors. We propose a nonparametric estimation method using penalized splines, which achieves the same optimal convergence rate as kernel-based methods, but enjoys computation advantages. Utilizing...

In this paper we propose a likelihood ratio test for a change in persistence of a time series. We consider the null hypothesis of a constant persistence I(1) and an alternative in which the series changes from a stationary regime to a unit root regime and vice versa. Both known and unknown break...

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...

This paper considers tests for seasonal and non-seasonal serial correlation in time series and in the errors of regression models. The problem of testing for white noise against multiplicative seasonal ARMA(l,l)-ARMA(l,l) alternatives is investigated. This testing problem is non-standard due to...

The preliminary test ridge regression estimators (P T R R E) based on the Wald (W), Likelihood Ratio (L R) and Lagrangian Multiplier (L M) tests for estimating the regression parameters has been considered in this paper. Here we consider the multiple regression model with student t error...

Departures from an economic equilibrium should be mean reverting. The deviations are often assumed to be integrated of order zero but this is too restrictive. It is sufficient that the shocks are integrated of an order less than one, i.e. they may be fractionally integrated. A fractionally...

Seemingly absent from the arsenal of currently available "nearly efficient" testing procedures for the unit root hypothesis, i.e. tests whose local asymptotic power functions are indistinguishable from the Gaussian power envelope, is a test admitting a (quasi-)likelihood ratio interpretation. We...