In this study, we consider the test statistics that can be written as the sample average of data and derive their limiting distribution under the maximum likelihood (ML) and the quasi-maximum likelihood (QML) frameworks. We first generalize the asymptotic variance formula suggested in Pierce...

In this paper, we provide a general account to the asymptotic properties of a modified Rao's score (RS) statistic for testing a non-linear hypothesis under both distributional and parametric misspecification. The distributional misspecification arises if the parametric family of distribution...

In this study, we propose a spatial stochastic volatility model in which the latent log-volatility terms follow a spatial autoregressive process. Though there is no spatial correlation in the outcome equation (the mean equation), the spatial autoregressive process defined for the log-volatility...