In 2016, Eugene Fama mentioned that he wanted a systematic way of identifying and predicting a stock market bubble. This paper develops a simple statistical method to sequentially monitor the stock market price changes. A new and simple boundary function is proposed, and asymptotic properties...

This article examines the heterogeneous emission effects among exporting firms. We propose that, in addition to the reduction effect of technology adoption on exporting firms' emissions, there exists an incremental effect of higher safety standard compliance. We develop a simple theoretical...

The immense literature and diversity of unit root tests can at times be confusing even to the specialist and presents a truly daunting prospect to the uninitiated. In consequence, much empirical work still makes use of the simplest testing procedures because it is unclear from the literature and...

Parametric copulas are shown to be attractive devices for specifying quantile autoregressive models for nonlinear time-series. Estimation of local, quantile-specific copula-based time series models offers some salient advantages over classical global parametric approaches. Consistency and...

Parametric copulas are shown to be attractive devices for specifying quantile autoregressive models for nonlinear time-series. Estimation of local, quantile-specific copula-based time series models offers some salient advantages over classical global parametric approaches. Consistency and...

A new model of near integration is formulated in which the local to unity parameter is identifiable and consistently estimable with time series data. The properties of the model are investigated, new functional laws for near integrated time series are obtained, and consistent estimators of the...