First, to test the existence of random effects in semiparametric mixed models (SMMs) under only moment conditions on random effects and errors, we propose a very simple and easily implemented non-parametric test based on a difference between two estimators of the error variance. One test is...

An exhaustive search as required for traditional variable selection methods is impractical in high dimensional statistical modeling. Thus, to conduct variable selection, various forms of penalized estimators with good statistical and computational properties, have been proposed during the past...

In parameter estimation, it is not a good choice to select a “best model” by some criterion when there is model uncertainty. Model averaging is commonly used under this circumstance. In this paper, transformation-based model averaged tail area is proposed to construct confidence interval,...

type="main" xml:id="sjos12044-abs-0001" <title type="main">ABSTRACT</title>The purpose of this article is threefold. First, variance components testing for ANOVA-type mixed models is considered, in which response may not be divided into independent sub-vectors, whereas most of existing methods are for models where...

Leshno and Levy (2002) extend stochastic dominance (SD) theory to almost stochastic dominance (ASD) for {\it most} decision makers. When comparing any two prospects, Guo, et al.\ (2013) find that there will be ASD relationship even there is only very little difference in mean, variance,...

Both the expected-utility maximization and the hierarchy property are very important properties in stochastic dominance. For almost stochastic dominance, Leshno and Levy (2002) propose a definition and Tzeng et al. (2013) modified it to give another definition. This note provides more...

Existing model-free tests of the conditional coordinate hypothesis in sufficient dimension reduction (Cook (1998) [3]) focused mainly on the first-order estimation methods such as the sliced inverse regression estimation (Li (1991) [14]). Such testing procedures based on quadratic inference...

In this paper we first develop a theory of almost stochastic dominance for risk-seeking investors to the first three orders. Thereafter, we study the relationship between the preferences of almost stochastic dominance for risk-seekers with that for risk averters.

In this paper, we introduce a new pseudo-Bayesian model to incorporate the impact of a financial crisis and establish some properties of stock returns and investors' behavior during a financial crisis and subsequent recovery. Our approach provides a quantitative description for investors'...

To satisfy the property of expected-utility maximization, Tzeng et al. (2012) modify the almost second-degree stochastic dominance proposed by Leshno and Levy (2002) and define almost higher-degree stochastic dominance. In this note, we further investigate the relevant properties. We define an...