Exact skewness-kurtosis tests for multivariate normality and goodness-of-fit in multivariate regressions with application to asset pricing models

Article Abstract:

The authors present tests for determining multivariate linear regression model error distributions. Test methods used include Gaussian, non-Gaussian, simple, double, and multi-stage Monte Carlo approaches. These are applied to a New York Stock Exchange portfolio asset pricing model.

Usage, Comparative analysis, Multivariate analysis, Monte Carlo method, Monte Carlo methods, Gaussian processes, Error functions, New York Stock Exchange Composite Index (Index)

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The Yen Real Exchange Rate may be Stationary after all: Evidence from Non-linear Unit-root Tests

Article Abstract:

A non-linear, exponentially smooth-transition autoregressive model is used to examine purchasing power parity for the yen real exchange rate. Perceived differences in real yen behavior are attributed to a restrictive alternative hypothesis in prior testing methods.

Capital funds & cash flow, Models, Valuation, Yen (Japan)

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Inflation dynamics and the New Keynesian Phillips Curve: an identification robust econometric analysis

Article Abstract:

Usage of identification-robust methods to evaluate a New Keynesian Phillips Curve equation of inflation dynamics is presented.

Analysis, Inflation (Finance), Keynesian economics, Inflation (Economics)

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