Data from eight major stock markets world-wide and five industries in each market are analysed. The correlations of return indices between countries and industries are studied with the hope of finding answers or confirming previous empirical answers to the following questions and the...

This study examines the question of 'Does the internet phenomenon affect the volatility of stock returns of legacy companies?';1 GARCH models and the Wald test are applied to investigate the persistence of stock return volatility and breaks in the volatility. A special GARCH (1,1) model is also...

We propose semiparametric procedures for estimation and testing of base-independent equivalence scales. The partial linear index specification permits simultaneous estimation across multiple household types and multiple goods and also the incorporation of continuous and discrete household...

This paper uses the 1998-99 Canadian National Population Health Survey (NPHS) data to examine the health-income relationship that underlies the absolute income hypothesis. To allow for nonlinearity and data heterogeneity, we use a partially linear semiparametric quantile regression model. Among...

This article extends the asymptotic results of the traditional least squares cross-validatory (CV) bandwidth selection method to semiparametric regression models with nonstationary data. Two main findings are that (a) the CV-selected bandwidth is stochastic even asymptotically and (b) the...

Lee (2003) develops a n-consistent estimator of the parametric component of a partially linear quantile regression model, which is used to obtain his one-step semiparametric efficient estimator. As a result, how well the efficient estimator performs depends on the quality of the initial...

type="main" xml:id="jtsa12075-abs-0001"This article considers linear cointegrating models with unknown nonlinear short-run contemporaneous endogeneity. Two estimators are proposed to estimate the linear cointegrating parameter after the nonlinear endogenous component is estimated by local linear...

Cai, Li, and Park (<italic>Journal of Econometrics</italic>, 2009) and Xiao (<italic>Journal of Econometrics</italic>, 2009) developed asymptotic theories for estimators of semiparametric varying coefficient models when regressors are integrated processes but the smooth coefficients are functionals of stationary processes. Using...

This paper considers a flexible panel data sample selection model in which (i) the outcome equation is permitted to take a semiparametric, varying coefficient form to capture potential parameter heterogeneity in the relationship of interest, (ii) both the outcome and (parametric) selection...