We study hypotheses testing in the presence of a possibly singular covariance matrix. We propose an alternative way to handle possible non-regularity in a covariance matrix of a Wald test, using the identity matrix as the weighting matrix when calculating the quadratic form. The resulting test...

We compare nonlinear cointegration tests with the standard cointegration tests in studying the relationship of the Dow Jones Islamic finance index with three other conventional equity market indices. Our results show that there is a long-run nonlinear cointegrating relationship between the Dow...

In this study, we apply a new recursive test proposed by Philips et al (2013) to investigate whether there exist multiple bubbles in the BRICS (Brazil, Russia, India, China and South Africa) stock markets, using monthly data on stock price-dividend ratio. Our empirical results, the first of its...

We propose a residual-based augmented Dickey-Fuller (ADF) test statistic that allows for detection of stationary cointegration within a system that may contain both I (2) and I (1) observables. The test is also consistent under the alternative of multicointegration, where first differences of...

This paper studies the robust estimation and inference of threshold models with integrated regressors. We derive the asymptotic distribution of the profiled least squares (LS) estimator under the diminishing threshold effect assumption that the size of the threshold effect converges to zero....

在利用中国å„ç§å®è§‚和金èžæ•°æ®çš„实è¯ç ”究和政策分æžä¸­ï¼Œå‘é‡è‡ªå›žå½’模型（Vector Autoregression,...

We propose the sharp identifiable bounds of the distribution functions of potential outcomes using a panel with fixed T. We allow for the possibility that the statistical randomization of treatment assignments is not achieved until unobserved heterogeneity is properly controlled for. We use...

We provide a generalization of the Anderson-Rubin (AR) procedure for inference on parameters which represent the dependence between possibly endogenous explanatory variables and disturbances in a linear structural equation (endogeneity parameters). We focus on second-order dependence and stress...

The objective of this study is to determine the impact of manufacturing performance, which is created by the manufacturing strategy in textile and automotive supply industries, on business performance. The research was applied to small and medium-sized enterprises operating in textile and...