We propose a set of algorithms for testing the ergodicity of empirical time series, without reliance on a specific parametric framework. It is shown that the resulting test asymptotically obtains the correct size for stationary and nonstationary processes, and maximal power against non-ergodic...

This paper analyzes the systematic relationship between the stock market valuations, the nominal GDPs and the interest rates of six Asian countries, using not 'single equation regression,' but an alternative methodology based on complete, multidirectional, least squares projections. We compare...

Empirical factor demand analysis is a topic in which a choice must be made among several competing non-nested functional forms. Each of the commonly used factor demand systems, such as Translog, Generalized Leontief, Quadratic, and Generalized McFadden, exhibits statistical inadequacy when...

In this paper, a number of procedures have been proposed for developing new biased estimators of seemingly unrelated regression (SUR) parameters, when the explanatory variables are affected by multicollinearity. Several ridge parameters are proposed and then compared in terms of the trace mean...

Researchers are often interested in testing for measurement invariance with respect to an ordinal auxiliary variable such as age group, income class, or school grade. In a factor-analytic context, these tests are traditionally carried out via a likelihood ratio test statistic comparing a model...

In this paper, we consider a family of recently-proposed measurement invariance tests that are based on the scores of a fitted model. This family can be used to test for measurement invariance w.r.t. a continuous auxiliary variable, without pre-specification of subgroups. Moreover, the family...

The issue of measurement invariance commonly arises in factor-analytic contexts, with methods for assessment including likelihood ratio tests, Lagrange multiplier tests, and Wald tests. These tests all require advance definition of the number of groups, group membership, and offending model...

This paper uses a simultaneous-equations model of the new consensus macroeconomic model to examine whether the inclusion of the money stock in the aggregate demand function improves the statistical fit of the model. The results indicate that the consensus model is accurate for the U.S. in that...

Multipliers are often used for selecting alternative policies in economic planning and forecasting. Particular variables like employment, trade balance, inflation or government budget usually impose constraints on the policy action. Therefore a criterion to be preferred to the raw multiplier...

The evaluation of policy actions by means of a large scale econometric model often begins with the analysis of multipliers. A large value of a multiplier, with the right sign, suggests that the policy instrument should be very effective in moving up or down the given target variable. However,...