Using an empirical likelihood approach, we show that generalized linear models can still be consistently estimated even if dependent variables are not missing at random, and derive a Hausman test by comparing this estimator to the standard one.

In this paper we present new evidence on the aggregate effect of the euro on trade using data for 26 OECD countries for the period 1967–2008. We strive to fill the gaps present in the previous literature through a second-generation panel cointegration tests and estimators that account for both...

This paper sheds light on the sensitivity of findings in comparative international value relevance studies regarding two fundamental methodological choices. We hypothesize and find that, first, using the regression vs. the portfolio returns specification and, second, the choice of the return...

We provide a theoretical framework to explain the empirical finding that the estimated betas are sensitive to the sampling interval even when using continuously compounded returns. We suppose that stock prices have both permanent and transitory components. The discrete time representation of the...

In this paper we develop a testing and modelling procedure for describing the long-term volatility movements over very long daily return series. For this purpose we assume that volatility is multiplicatively decomposed into a conditional and an unconditional component as in Amado and Teräsvirta...

This paper proposes a new unit root test that is general enough to accommodate a potentially non-linear deterministic trend function, making it one of the most general tests around. However, the main advantage lies with its simple implementation. In particular, the asymptotic critical values are...

The cointegration test cannot discriminate closer relationships from cointegrating relationships. In most applications, we must assess the degrees of cointegrating relationships, for example, to examine the comovement between international stock markets using the cointegration methodology. Lee...

In assessing how far and how close the relationships are between the Taiwan capital market and other international capital markets in Asian financial case, we examine the co-movement patterns by developing the “unequal variance test”. We find that a closer relationship exists between Taiwan...

The bulk of the literature investigating persistence properties of non-renewable resource prices series has focused on application of unit root tests. This paper contributes to the debate, applying a methodology which allows (1) robust detection of the presence and (if so) the number of changes,...

This paper explores the response of the divorce rate to law reforms introducing unilateral divorce after controlling for law reforms concerning the aftermath of divorce, which are omitted from most previous studies. We introduce two main policy changes that have swept the US since the late...