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A general dependence test and applications (replication data)
We describe a test, based on the correlation integral, for the independence of a variable and a vector that can be used with serially dependent data. Monte Carlo simulations... -
An empirical application of stochastic volatility models (replication data)
This paper studies the empirical performance of stochastic volatility models for twenty years of weekly exchange rate data for four major currencies. We concentrate on the... -
Testing non-nested semiparametric models: an application to Engel curves spec...
This paper proposes a test statistic for discriminating between two partly non-linear regression models whose parametric components are non-nested. The statistic has the form of...