Recent studies of purchasing power parity (PPP) account for the possible presence of unit roots in nominal exchange rates and relative price indices by applying standard unit-root tests to real exchange rates, which are ratios of nominal exchange rates and relative price indices. These studies occasionally find evidence of PPP, but as a whole, the evidence is not definitive. Standard unit-root ...

The cumulative distribution function (CDF) of the T-X family is given by R{W(F(x))}, where R is the CDF of a random variable T, F is the CDF of X and W is an increasing function defined on [0, 1] having the support of T as its range. This family provides a new method of generating univariate distributions. Different choices of the R, F and W functions naturally lead to different families of dis...

This paper exploits the fact that any time series with a unit root can de decomposed into a stationary series and a random walk. Since the random walk component can have arbitrarily small variance, tests for unit roots or trend stationarity have arbitrarily low power in finite samples. Furthermore, there are unit root processes whose likelihood functions and autocorrelation functions are arbitr...

Climate change may lead to changes in several aspects of the distribution of climate variables, including changes in the mean, increased variability, and severity of extreme events. In this paper, we propose using spatiotemporal quantile regression as a flexible and interpretable method for simultaneously detecting changes in several features of the distribution of climate variables. The spatio...

Quantile regression has become a valuable tool to analyze heterogeneous covaraite-response associations that are often encountered in practice. The development of quantile regression methodology for high dimensional covariates primarily focuses on examination of model sparsity at a single or multiple quantile levels, which are typically prespecified ad hoc by the users. The resulting models may...

in this paper, we analyze the dynamics of income gap between 138 countries with usa by using time series model of convergence hypothesis and various panel unit root tests over period 1950-2008. all panel unit root tests don’t reject the null hypothesis of unit root. univariate unit root tests results show that gdp per capita of south korea, switzerland, austria, lesoto and hungry catch up with ...

Quantile regression methods are emerging as a popular technique in econometrics and biometrics for exploring the distribution of duration data. This paper discusses quantile regression for duration analysis allowing for a flexible specification of the functional relationship and of the error distribution. Censored quantile regression address the issue of right censoring of the response variable...

Moments or cumulants have been traditionally used to characterize a probability distribution or an observed data set. Recently, L-moments and trimmed L-moments have been noticed as appealing alternatives to the conventional moments. This paper promotes the use of L-moments proposing new parametric families of distributions that can be estimated by the method of L-moments. The theoretical L-mome...