This paper studies the behavior of the conventional measures of skewness and kurtosis when the data generator process is a distribution which does not possess variance or third or fourth moment and assesses the robustness of the alternative measures for these particular cases. I first show that...

This paper provides tables of critical values for some popular tests of cointegration and unit roots. Although these tables are necessarily based on computer simulations, they are much more accurate than those previously available. The results of the simulation experiments are summarized by...

Propensity score matching estimators have two advantages. One is that they overcome the curse of dimensionality of covariate matching, and the other is that they are nonparametric. However, the propensity score is usually unknown and needs to be estimated. If we estimate it nonparametrically, we...

Propensity score matching estimators have two advantages. One is that they overcome the curse of dimensionality of covariate matching, and the other is that they are nonparametric. However, the propensity score is usually unknown and needs to be estimated. If we estimate it nonparametrically, we...

This paper establishes a Durbin-Watson test statistic with sufficiency and rebuilds the probability table for hypothesis testing in the multivariate regression model without intercept because the Durbin-Watson test which has numerous problems first established in a multiple regression model with...

This paper revalidates the Durbin-Watson test statistic and rebuilds the probability table for hypothesis testing in the multivariate regression model without intercept because the Durbin-Watson test which has numerous problems. The paper shows that the independent variables, hypothesized...

This paper revalidates the Durbin-Watson test statistic and rebuilds the probability table for hypothesis testing in the multivariate regression model with intercept because the Durbin-Watson test which has numerous problems. The paper shows that the independent variables, hypothesized...

This paper establishes a Durbin-Watson test statistic with sufficiency and rebuilds the probability table for hypothesis testing in the multivariate regression model with intercept because the Durbin-Watson test which has numerous problems first established in a multiple regression model with...

This paper poses a new methodology to estimate the required economic capital for a retail-credit portfolio. The methodology is based on both the general copula concepts and some core results from the extreme value theory (EVT). The main results support the fact that the proposed methodology is...

This paper proposes a simple maximum likelihood regression estimator that outperforms Least Squares in terms of efficiency and mean square error for a large number of skewed and/or heavy tailed error distributions