The paper studies the degree of homogeneity of innovative behavior in order to determine empirically an industry classification of Dutch manufacturing that can be used for policy purposes. We use a two-limit tobit model with sample selection, which explains the decisions by business enterprises...

This study suggests time-based clustering models integrating change-point detection and neural networks, and applies them to financial time series forecasting. The basic concept of the proposed models is to obtain intervals divided by change points, to identify them as change-point groups, and...

Many economic events involve initial observations that substantially deviate from long-run steady state. Initial conditions of this type have been found to impact diversely on the power of univariate unit root tests, whereas the impact on multivariate tests is largely unknown. This paper...

The likelihood ratio test of cointegration rank is the most widely used test for cointegration. Many studies have shown that its finite sample distribution is not well approximated by the limiting distribution. The article introduces and evaluates by Monte Carlo simulation experiments bootstrap...

Seemingly absent from the arsenal of currently available "nearly efficient" testing procedures for the unit root hypothesis, i.e. tests whose local asymptotic power functions are indistinguishable from the Gaussian power envelope, is a test admitting a (quasi-)likelihood ratio interpretation. We...

We examine use of the likelihood ratio (LR) statistics to test for unobserved heterogeneity in duration models, based on mixtures of exponential or Weibull distributions. We consider both the uncensored and censored duration cases. The asymptotic null distribution of the LR test statistics is...

The asymptotic properties of the quasi-maximum likelihood estimator (QMLE) of vector autoregressive moving-average (VARMA) models are derived under the assumption that the errors are uncorrelated but not necessarily independent. Relaxing the independence assumption considerably extends the range...

Three tests for zero restrictions on regression coefficients that are known to be nonnegative are considered: the classical F test, the likelihood ratio test, and a one-sided t test in a particular direction. Critical values for the likelihood ratio test are given for the cases of two and three...

In this paper we show that the Marshall-Olkin extended Weibull distribution can be obtained as a compound distribution with mixing exponential distribution. In addition, we provide simple sufficient conditions for the shape of the hazard rate function of the distribution. Moreover, we extend the...

The purpose of this paper is to give a systematic account of the maximum likelihood inference concerning cointegration vectors in non-stationary vector value autoregressive time series with Gaussian errors. The hypothesis of r cointegration vectors is given a simple parametric formulation in...