-
Article
A model specification test for nonlinear stochastic diffusions with delay
This paper investigates model specification problems for nonlinear stochastic differential equations with delay (SDDE). Compared to the model specification for conventional stochastic diffusions without delay,...
-
Article
Economic Policy Uncertainty: Cross-Country Linkages and Spillover Effects on Economic Development in Some Belt and Road Countries
With the increase of economic environment uncertainty, it is of great importance to study the linkage and spillover effects of economic policy uncertainty among countries. Especially, this article selects eigh...
-
Article
Functional coefficient seasonal time series models with an application of Hawaii tourism data
In this article, motivated by an analysis of the monthly number of tourists visiting Hawaii, we propose a new class of nonparametric seasonal time series models under the framework of the functional coefficien...
-
Article
A new semiparametric test for superior predictive ability
We propose a new method to test the superior predictive ability (SPA) of a benchmark model against a large group of alternative models. The proposed test is useful for reducing potential data snoo** bias. Un...
-
Article
Forecasting major Asian exchange rates using a new semiparametric STAR model
To forecast exchange rates, this paper proposes a new semiparametric smooth transition autoregressive model by allowing state variables to enter into the transition function in a nonparametric way. We propose ...
