We propose a specification test of a parametrically specified model against a weakly specified alternative. The latter is estimated using K nonparametric nearest neighbors (K-NN) in the context of an artificial regression. We derived the asymptotic distribution under the null hypothesis and...

We compare the sensitivity analysis of cross-country growth regressions based on extreme bounds analysis to a more direct specification testing approach using non-nested hypotheses tests. The results suggest that those specifications that are adequate are also those that include two of the only...

In this study the authors test the efficient market hypothesis in the Athens Stock Exchange for a number of selected stocks from the banking sector. They distinguish between a "weak" and "semi-strong" version of the hypothesis depending on the agents' information sets. For the "weak" version...

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...

We propose a partially adaptive estimator based on information theoretic maximum entropy estimates of the error distribution. The maximum entropy (maxent) densities have simple yet flexible functional forms to nest most of the mathematical distributions. Unlike the nonparametric fully adaptive...

We propose a new generalised rank-3 demand system which nests all known (and new) rank-3 and rank-2 demand systems derived from the Quadratic Logarithmic (QL) cost function. We investigate its statistical adequacy against commonly en-countered alternatives using U.K. household data.

We derive general distribution tests based on the method of Maximum Entropy density. The proposed tests are derived from maximizing the differential entropy subject to moment constraints. By exploiting the equivalence between the Maximum Entropy and Maximum Likelihood estimates of the general...

We examine wage-change distributions in Canadian union contracts for evidence of downward nominal wage rigidity. Its probability increases substantially during low-inflation periods. During such periods, we discern no reduction in the incidence of real wage cuts. However, their magnitude is...

We apply a smooth coefficient semiparametric model to a unique high frequency data set to examine the intertemporal pricing of personal computers.  Furthermore, we test (a) whether firms charge differential component prices for their top performance personal computers and (b) whether premium...