Related papers: Testing for Nonlinear Cointegration under Heterosk…
We examine the problem of variance components testing in general mixed effects models using the likelihood ratio test. We account for the presence of nuisance parameters, i.e. the fact that some untested variances might also be equal to…
We study the weak convergence of conditional empirical copula processes, when the conditioning event has a nonzero probability. The validity of several bootstrap schemes is stated, including the exchangeable bootstrap. We define general -…
The purpose of this research article is to discover how the econophysics analysis can complement the econometrics models in application to the risk management in the central banks and financial institutions, operating within the nonlinear…
The paper considers simultaneous nonparametric inference for a wide class of M-regression models with time-varying coefficients. The covariates and errors of the regression model are tackled as a general class of nonstationary time series…
We apply the concept of distance covariance for testing independence of two long-range dependent time series. As test statistic we propose a linear combination of empirical distance cross-covariances. We derive the asymptotic distribution…
We develop theoretical finite-sample results concerning the size of wild bootstrap-based heteroskedasticity robust tests in linear regression models. In particular, these results provide an efficient diagnostic check, which can be used to…
We consider testing the significance of a subset of covariates in a nonparametric regression. These covariates can be continuous and/or discrete. We propose a new kernel-based test that smoothes only over the covariates appearing under the…
This paper develops and implements a nonparametric test of Random Utility Models. The motivating application is to test the null hypothesis that a sample of cross-sectional demand distributions was generated by a population of rational…
We propose a nonparametric algorithm to detect structural breaks in the conditional mean and/or variance of a time series. Our method does not assume any specific parametric form for the dependence structure of the regressor, the time…
This paper analyzes the process of long-run co-movements and stock market globalization on the basis of cointegration tests and vector error correction (VEC) models. The cointegration tests used here allow for structural breaks to be…
We develop a theory for the nonequilibrium coherent transport through a mesoscopic region, based on the nonequilibrium Green function technique. The theory requires the weak coupling between the central mesoscopic region and the multiple…
We show that bootstrap methods based on the positivity of probability measures provide a systematic framework for studying both synchronous and asynchronous nonequilibrium stochastic processes on infinite lattices. First, we formulate…
The Kolmogorov--Smirnov (KS) test is a widely used statistical test that assesses the conformity of a sample to a specified distribution. Its efficacy, however, diminishes with serially dependent data and when parameters within the…
Hypothesis testing for the slope function in functional linear regression is of both practical and theoretical interest. We develop a novel test for the nullity of the slope function, where testing the slope function is transformed into…
We propose a new asymptotic test to assess the stationarity of a time series' mean that is applicable in the presence of both heteroscedasticity and short-range dependence. Our test statistic is composed of Gini's mean difference of local…
We investigate testing of the hypothesis of independence between a covariate and the marks in a marked point process. It would be rather straightforward if the (unmarked) point process were independent of the covariate and the marks. In…
This paper is concerned with tests for changes in the jump behaviour of a time-continuous process. Based on results on weak convergence of a sequential empirical tail integral process, asymptotics of certain tests statistics for breaks in…
We discuss several issues regarding material homogeneity and strain compatibility for materially uniform thin elastic shells from the viewpoint of a 3-dimensional theory, with small thickness, as well as a 2-dimensional Cosserat theory. A…
We propose a test-based elastic integrative analysis of the randomized trial and real-world data to estimate treatment effect heterogeneity with a vector of known effect modifiers. When the real-world data are not subject to bias, our…
This paper considers a class of nonparametric autoregressive models with nonstationarity. We propose a nonparametric kernel test for the conditional mean and then establish an asymptotic distribution of the proposed test. Both the setting…