Forward and spot exchange rates are modelled as an unrestricted bivariate autoregression from weekly data on the New York foreign exchange market for June, 1973 to April, 1980. The null hypothesis that the forward exchange rate is an unbiased estimate of the corresponding future spot exchange rate is tested by means of a nonlinear Wald test and is rejected for all six currencies considered. The...

Applied researchers often use tests based on contingency tables in preliminary data analysis and diagnostic testing. We show that many of such tests may be alternatively implemented by testing for coefficient restrictions in linear regression systems (as a rule, employing the Wald test). This unifies the theories of regression analysis and contingency tables, sheds more light on intuitive conte...

We consider parametric tests for multidimensional ergodic diffusions based on high frequency data. propose two-step testing method diffusion parameters and drift parameters. To construct test statistics of the tests, we utilize adaptive estimator provide three types statistics: likelihood ratio type test, Wald Rao’s score test. It is proved that these converge in distribution to chi-squared und...

We study semiparametric varying-coefficient partially linear models when some linear covariates are not observed, but ancillary variables are available. Semiparametric profile least-square based estimation procedures are developed for parametric and nonparametric components after we calibrate the error-prone covariates. Asymptotic properties of the proposed estimators are established. We also p...

We consider two relations between Fisher's information matrix of a stationary ARMA (autoregressive moving average) process and Sylvester's resultant matrix. One is based on the Wald test statistic for testing common roots of the AR and MA polynomials of an ARMA process, and the other one is established by using the structure of Fisher's information matrix. It turns out that the latter is also a...

Compliance with eye patching revealed that 72% of parents were achieving orthoptist recommendations to patch their child. In 28% of cases visual acuity didn’t raise any line. There is a positive mild correlation (kappa = 0,536) between the Orthoptist’s recommendations and parental perception of these recommendations. The logistic binary model was used to estimate the odds ratio for each factor....

1. INTRODUCTION k-L-p+l. Thus, the Wald statistic X W =-01V-10 can have very low power (Korn Complex surveys usually involve and Graubard 1990). multistage cluster sampling where the selection of primary sampling units (PSU's) is within Alternative test procedures the Wald well-defined strata at the first stage of sampling, test, along with their asymptotic properties, are The standard error of...

We develop a test for the linear no cointegration null hypothesis in a threshold vector error correction model. We adopt a sup-Wald type test and derive its null asymptotic distribution. A residual-based bootstrap is proposed, and the first-order consistency of the bootstrap is established. A set of Monte Carlo simulations shows that the bootstrap corrects size distortion of asymptotic distribu...