I describe a goodness-of-fit measure for revealed preference tests. This index can be used to measure the degree to which an economic agent violates the model of utility maximization. I calculate the violation indices for a 38 consumers and find that the observed choice behavior is very close to...

In this paper we analyze the asymptotic properties of the popular distribution tail index estimator by B. Hill (1975) for possibly heavy- tailed, heterogenous, dependent processes. We prove the Hill estimator is weakly consistent for processes with extremes that form mixingale sequences, and...

In this paper we develo psemiparametric estimators of L and y in the model L(Y) = min[b›X + U,C], where Y is a nonnegative dependent variable, X is a vector of explanatory variables, U is an unobserved random "error" term with unknown distribution function y, C is a random censoring variable,...

The smoothed maximum score estimator of the coefficient vector of a binary response model is consistent and asymptotically normal under weak distributional assumptions. However, the differences between the true and nominal levels of tests based on smoothed maximum score estimates can be very...

In decision theory, incommensurabilities among conflicting decision criteria are typically handled by multicriteria optimization methods such as Pareto efficiency and mean-variance analysis. In econometrics and statistics, where conflicting model criteria replace conflicting decision criteria,...

The objective of this paper is to examine the long-run determinants of internal migrations from South Italy, and, in order to accomplish this task, to develop a bootstrap test for panel cointegration analysis with dependent units. Monte Carlo simulations show that the test, based on the...

In this paper, we introduce a novel class of skewed multivariate distributions and, more generally, a method of building such a class on the basis of univariate skewed distributions. The method is based on a general linear transformation of a multidimensional random variable with independent...

We study the modeling of large data sets of high frequency returns using a long memory stochastic volatility (LMSV) model. Issues pertaining to estimation and forecasting of large datasets using the LMSV model are studied in detail. Furthermore, a new method of de-seasonalizing the volatility in...

In this discussed draft, we want to present the Partial Distribution (F.Dai, 2001) for discussing. We compare the partial distribution with lognormal and levy distribution. Though the levy distribution is better to describe the prices distribution of stock and stock indexes in a moderately large...