In this study, we considered a matrix operator that stacks up generically distinct elements of a symmetric matrix in a way different from the well-known "vech" operator. We call this operator the "vecp" operator. The vecp operator is similar to the vech operator, but it is more useful in...

We introduce a matrix operator, which we call "vecd'' operator. This operator stacks up "diagonals'' of a symmetric matrix. This operator is more convenient for some statistical analyses than the commonly used "vech'' operator. We show an explicit relationship between the vecd and vech...

In this paper, we consider the matrix vectorization operator termed the vecd operator, which has recently been introduced in the literature. This operator stacks up distinct elements of a symmetric matrix in a way that differs from that of the well-known vech operator; it stacks up not columns,...

A recursive formula for computing the exact value of score vectors is proposed, which is more desirable than approximate values in some statistical analyses, for a general form of the linear Gaussian state space model. Unlike most extant methods, our formula calculates all components of the...

Recently Chiba and Kobayashi (2013) have proposed the Lagrange multiplier (LM) test for the null hypothesis that volatilities of two asset return processes are driven by only one stochastic volatility (SV) process in a bivariate SV model. They apply their LM test to Asian stock market index...

In this paper, we propose a test for coefficient stability of an AR(1) model against the random coefficient autoregressive model of order 1 neither assuming a stationary nor a non-stationary process under the null hypothesis of a constant coefficient. The proposed test is obtained as a...

In this article, we develop the asymptotic theory of Hwang and Basawa (2005) for explosive random coefficient autoregressive (ERCA) models. Applying the theory, we prove that a locally best invariant (LBI) test in McCabe and Tremayne (1995), which is for the null of a unit root (UR) process...

In this note, I review how to impose the stationarity and invertibility conditions in estimating ARMA models with unconstrained optimization. Specifically, I reintroduce a convenient transformation of unconstrained variables proposed by Jones (1980), illustrating how to compute its inverse...

Is there asymmetry in the distribution of government bond returns in developed countries? Can asymmetries be predicted using financial and macroeconomic variables? To answer the first question, we provide evidence for asymmetry in government bond returns in particular for short maturities. This...

Is there asymmetry in the distribution of government bond returns in developed countries? Can asymmetries be predicted using financial and macroeconomic variables? To answer the first question, we provide evidence for asymmetry in government bond returns in particular for short maturities. This...