In this note, I consider a general class of unobserved components (UC) models and derive a relevant inequality. This inequality implies that either of the two assumptions of standard UC models, namely, a random walk trend and uncorrelated shocks, is not satisfied if the impulse response measure...

We measure asymmetries in the distribution of bond returns and exchange rates and test their statistical significance. Asymmetries are sizable when measured by the coefficient of skewness, a measure that is highly affected by outliers. In contrast, robustly measured asymmetries to outliers often...

In this note, I consider a general class of unobserved components (UC) models and derive a relevant inequality. This inequality implies that either of the two assumptions of standard UC models, namely, a random walk trend and uncorrelated shocks, is not satisfied if the impulse response measure...

The well known Jarque-Bera (JB) test for normality uses the sample mean and sample standard deviation for estimating the population mean and population standard deviation. Instead of the sample standard deviation, Gel and Gastwirth (2008) proposed to use a robust scale estimator, known as the...

The random coefficient autoregressive model has been utilized for modeling financial time series because it possesses features that are often observed in financial time series. When the mean of the random autoregressive coefficient is one, it is called the stochastic unit root model. This paper...

The multinomial probit (MP) and ordered probit (OP) models have been widely used in empirical econometric analyses in which a dependent variable falls into several categories. In this paper, we consider another class of probit models, called the correlated sequential probit(CSP) model, and show...