Related papers: Testing for Nonlinear Cointegration under Heterosk…
We theoretically study the coherent nonlinear response of electrons confined in semiconductor quantum wells under the effect of an electromagnetic radiation close to resonance with an intersubband transition. Our approach is based on the…
Estimation of the covariance matrix of asset returns is crucial to portfolio construction. As suggested by economic theories, the correlation structure among assets differs between emerging markets and developed countries. It is therefore…
The linear regression model is widely used in empirical work in Economics, Statistics, and many other disciplines. Researchers often include many covariates in their linear model specification in an attempt to control for confounders. We…
We propose an informal test for stationarity in a time series which checks for the compatibility of nonlinear approximations to the dynamics made in different segments of the sequence. The segments are compared directly, rather than via…
We consider the problem of designing experiments to detect the presence of a specified heteroscedastity in a non-linear Gaussian regression model. In this framework, we focus on the ${\rm D}_s$- and KL-criteria and study their relationship…
In this paper, we are interested in testing if the volatility process is constant or not during a given time span by using high-frequency data with the presence of jumps and microstructure noise. Based on estimators of integrated volatility…
We consider the problem of finding confidence intervals for the risk of forecasting the future of a stationary, ergodic stochastic process, using a model estimated from the past of the process. We show that a bootstrap procedure provides…
We formulate nonparametric and semiparametric hypothesis testing of multivariate stationary linear time series in a unified fashion and propose new test statistics based on estimators of the spectral density matrix. The limiting…
Finite mixtures of multivariate normal distributions have been widely used in empirical applications in diverse fields such as statistical genetics and statistical finance. Testing the number of components in multivariate normal mixture…
This paper proposes a Kolmogorov-Smirnov type statistic and a Cram\'er-von Mises type statistic to test linearity in semi-functional partially linear regression models. Our test statistics are based on a residual marked empirical process…
We test the hypothesis that simulataneous linear contrasts of multiple variance components equal zero in a Gaussian variance components model via a parametric bootstrap. Applications include but are not limited to nested and crossed…
In this paper we propose a new test for the hypothesis of a constant coefficient of variation in the common nonparametric regression model. The test is based on an estimate of the $L^2$-distance between the square of the regression function…
In clinical trials the comparison of two different populations is a frequently addressed problem. Non-linear (parametric) regression models are commonly used to describe the relationship between covariates as the dose and a response…
In this paper, we introduce an asymptotic test procedure to assess the stability of volatilities and cross-volatilites of linear and nonlinear multivariate time series models. The test is very flexible as it can be applied, for example, to…
A linear and lagged relationship between inflation and labor force change rate, p(t)= A1dLF(t-t1)/LF(t-t1)+A2 was found for developed economies. For the USA, A1=4.0, A2=-0.03075, and t1=2 years. It provides a RMS forecasting error (RMFSE)…
A low-degree polynomial model for a response curve is used commonly in practice. It generally incorporates a linear or quadratic function of the covariate. In this paper we suggest methods for testing the goodness of fit of a general…
We propose an experimental methodology for probing the energy barrier inhomogeneity at the metal/semiconductor interface without the need for time-consuming microscopic survey. It is based on the known statistical nature of the interfacial…
In lifetime data, like cancer studies, theremay be long term survivors, which lead to heavy censoring at the end of the follow-up period. Since a standard survival model is not appropriate to handle these data, a cure model is needed. In…
The issue addressed in this paper is that of testing for common breaks across or within equations of a multivariate system. Our framework is very general and allows integrated regressors and trends as well as stationary regressors. The null…
In unit root testing, a piecewise locally stationary process is adopted to accommodate nonstationary errors that can have both smooth and abrupt changes in second- or higher-order properties. Under this framework, the limiting null…