This paper investigates and analyzes the long-run equilibrium relationship between the Thai stock Exchange Index (SETI) and selected macroeconomic variables using monthly time series data that cover a 20-year period from January 1990 to December 2009. The following macroeconomic variables are...

We consider inference post-model-selection in linear regression. In this setting, Berk et al.(2013) recently introduced a class of confidence sets, the so-called PoSI intervals, that cover a certain non-standard quantity of interest with a user-specified minimal coverage probability,...

This paper analyzes the effect of the recent market crash on the international diversification of equity portfolios from the perspective of dependence structure. We use the generalized Pareto distribution to fit the left and the right tail of each return distribution in order to evaluate the...

This manuscript provides an introduction to the econometric analysis. It is articulated around two parts structured on six chapters. The first part, devoted to the study of the linear model, consists of four chapters. The first presents some useful statistical concepts in Econometrics while the...

We consider inference post-model-selection in linear regression. In this setting, Berk et al.(2013a) recently introduced a class of confidence sets, the so-called PoSI intervals, that cover a certain non-standard quantity of interest with a user-specified minimal coverage probability,...

Greece is widely hailed to be among the most prominent victims of the recent global recession since the downfall of its economic activity, caused by local and international factors, has reached levels that are directly comparable to the Great Recession. In this context, we attempt to shed light...

We consider inference post-model-selection in linear regression. In this setting, Berk et al.(2013a) recently introduced a class of confidence sets, the so-called PoSI intervals, that cover a certain non-standard quantity of interest with a user-specified minimal coverage probability,...

In this paper, we develop a modified maximum likelihood (MML) estimator for the multiple linear regression model with underlying student t distribution. We obtain the closed form of the estimators, derive the asymptotic properties, and demonstrate that the MML estimator is more appropriate for...

Die Öffentlichkeit hat ein Interesse zu wissen, ob politische Maßnahmen die mit ihnen verfolgten Ziele wirksam und wirtschaftlich erreichen. In empirischen Studien, die als Grundlage für evidenzbasierte Wirtschaftspolitik dienen können, werden häufig komplexe Methoden verwendet, um...

In this paper, we borrow some of the key concepts of nonequilibrium statistical systems, to develop a framework for analyzing a self-organizing-optimizing system of independent interacting agents, with nonlinear dynamics at the macro level that is based on stochastic individual behavior at the...