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A Simple Distribution-Free Test for Nonnested Model Selection

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Cited by:

  1. Dalla Valle, Luciana & De Giuli, Maria Elena & Tarantola, Claudia & Manelli, Claudio, 2016. "Default probability estimation via pair copula constructions," European Journal of Operational Research, Elsevier, vol. 249(1), pages 298-311.
  2. Benos, Nikos & Stavrakoudis, Athanassios, 2022. "Okun's law: Copula-based evidence from G7 countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 84(C), pages 478-491.
  3. David Danz & Dietmar Fehr & Dorothea Kübler, 2012. "Information and beliefs in a repeated normal-form game," Experimental Economics, Springer;Economic Science Association, vol. 15(4), pages 622-640, December.
  4. Sergey Ivashchenko, 2022. "Dynamic Stochastic General Equilibrium Model with Multiple Trends and Structural Breaks," Russian Journal of Money and Finance, Bank of Russia, vol. 81(1), pages 46-72, March.
  5. Fiszeder, Piotr & Fałdziński, Marcin & Molnár, Peter, 2019. "Range-based DCC models for covariance and value-at-risk forecasting," Journal of Empirical Finance, Elsevier, vol. 54(C), pages 58-76.
  6. Brechmann, Eike Christian & Schepsmeier, Ulf, 2013. "Modeling Dependence with C- and D-Vine Copulas: The R Package CDVine," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 52(i03).
  7. Seok, Sang Ik & Cho, Hoon & Ryu, Doojin, 2020. "The information content of funds from operations and net income in real estate investment trusts," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  8. Sergey Ivashchenko & Semih Emre Çekin & Kevin Kotzé & Rangan Gupta, 2020. "Forecasting with Second-Order Approximations and Markov-Switching DSGE Models," Computational Economics, Springer;Society for Computational Economics, vol. 56(4), pages 747-771, December.
  9. Chebbi, Ali & Hedhli, Amel, 2022. "Revisiting the accuracy of standard VaR methods for risk assessment: Using the Copula–EVT multidimensional approach for stock markets in the MENA region," The Quarterly Review of Economics and Finance, Elsevier, vol. 84(C), pages 430-445.
  10. Miguel Santolino & Jean-Philippe Boucher, 2009. "Modelling the disability severity score in motor insurance claims: an application to the Spanish case," IREA Working Papers 200902, University of Barcelona, Research Institute of Applied Economics, revised Jan 2009.
  11. Czajkowski, Mikolaj & Buszko-Briggs, Malgorzata & Hanley, Nick, 2009. "Valuing changes in forest biodiversity," Ecological Economics, Elsevier, vol. 68(12), pages 2910-2917, October.
  12. Karol Wyszynski & Giampiero Marra, 2018. "Sample selection models for count data in R," Computational Statistics, Springer, vol. 33(3), pages 1385-1412, September.
  13. Moh'd Al-Azzam & Maria Heracleous & Sudipta Sarangi, 2013. "Does the Group Leader Affect Repayment Performance Differently?," Southern Economic Journal, John Wiley & Sons, vol. 80(2), pages 502-522, October.
  14. Peter J. Veazie & Shubing Cai, 2015. "Least Squared Simulated Errors," SAGE Open, , vol. 5(1), pages 21582440155, March.
  15. Panagiotou, Dimitrios & Stavrakoudis, Athanassios, 2017. "Vertical price relationships between different cuts and quality grades in the U.S. beef marketing channel: A wholesale-retail analysis," The Journal of Economic Asymmetries, Elsevier, vol. 16(C), pages 53-63.
  16. Zhang, Dalu, 2014. "Vine copulas and applications to the European Union sovereign debt analysis," International Review of Financial Analysis, Elsevier, vol. 36(C), pages 46-56.
  17. Inês Pinto & Ana Isabel Morais, 2022. "Classification of Equity Instruments under IFRS 9: Determinants and Consequences," Australian Accounting Review, CPA Australia, vol. 32(4), pages 411-426, December.
  18. Nathaniel T. Wilcox, 2015. "Error and Generalization in Discrete Choice Under Risk," Working Papers 15-11, Chapman University, Economic Science Institute.
  19. Fiszeder, Piotr & Fałdziński, Marcin & Molnár, Peter, 2023. "Attention to oil prices and its impact on the oil, gold and stock markets and their covariance," Energy Economics, Elsevier, vol. 120(C).
  20. Shahwali Khan & Michael E. Bradbury & Stephen Courtenay, 2018. "Value Relevance of Comprehensive Income," Australian Accounting Review, CPA Australia, vol. 28(2), pages 279-287, June.
  21. Marcelo Brutti Righi & Paulo Sergio Ceretta, 2012. "Analysis of the Tail Dependence Structure in the Global Markets: A Pair Copula Construction Approach," Economics Bulletin, AccessEcon, vol. 32(2), pages 1151-1161.
  22. Matloob Piracha & Stephane Mahuteau & Massimiliano Tani, 2010. "Selection Policy and Immigrants’ Remittance Behaviour," Studies in Economics 1003, School of Economics, University of Kent.
  23. Markwat, Thijs & Kole, Erik & van Dijk, Dick, 2009. "Contagion as a domino effect in global stock markets," Journal of Banking & Finance, Elsevier, vol. 33(11), pages 1996-2012, November.
  24. Marcelo Brutti Righi & Paulo Sergio Ceretta, 2012. "Predicting the risk of global portfolios considering the non-linear dependence structures," Economics Bulletin, AccessEcon, vol. 32(1), pages 282-294.
  25. Frank Gyamfi-Yeboah & Alan Ziobrowski & Lisa Lambert, 2012. "Reits’ Price Reaction to Unexpected FFO Announcements," The Journal of Real Estate Finance and Economics, Springer, vol. 45(3), pages 622-644, October.
  26. Çekin, Semih Emre & Ivashchenko, Sergey & Gupta, Rangan & Lee, Chien-Chiang, 2024. "Real-time forecast of DSGE models with time-varying volatility in GARCH form," International Review of Financial Analysis, Elsevier, vol. 93(C).
  27. Cyprian Omari & Peter Mwita & Anthony Waititu, 2019. "Conditional Dependence Modelling with Regular Vine Copulas," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 8(1), pages 1-5.
  28. Romina Gambacorta & Maria Iannario, 2013. "Measuring Job Satisfaction with CUB Models," LABOUR, CEIS, vol. 27(2), pages 198-224, June.
  29. Brei, Michael & Pérez-Barahona, Agustín & Strobl, Eric, 2016. "Environmental pollution and biodiversity: Light pollution and sea turtles in the Caribbean," Journal of Environmental Economics and Management, Elsevier, vol. 77(C), pages 95-116.
  30. Fernanda Maria Müller & Marcelo Brutti Righi, 2018. "Numerical comparison of multivariate models to forecasting risk measures," Risk Management, Palgrave Macmillan, vol. 20(1), pages 29-50, February.
  31. Huang, Wanling & Mollick, Andre Varella, 2020. "Tight oil, real WTI prices and U.S. stock returns," Energy Economics, Elsevier, vol. 85(C).
  32. Koliai, Lyes, 2016. "Extreme risk modeling: An EVT–pair-copulas approach for financial stress tests," Journal of Banking & Finance, Elsevier, vol. 70(C), pages 1-22.
  33. Genius, Margarita & Strazzera, Elisabetta, 2011. "Can unbiased be tighter? Assessment of methods to reduce the bias-variance trade-off in WTP estimation," Resource and Energy Economics, Elsevier, vol. 33(1), pages 293-314, January.
  34. Eling, Martin & Jung, Kwangmin, 2018. "Copula approaches for modeling cross-sectional dependence of data breach losses," Insurance: Mathematics and Economics, Elsevier, vol. 82(C), pages 167-180.
  35. de Boer, P.M.C., 2009. "Modeling household behavior in a CGE model: linear expenditure system or indirect addilog?," Econometric Institute Research Papers EI 2009-16, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  36. Mikhail Semenov & Daulet Smagulov, 2017. "Portfolio Risk Assessment using Copula Models," Papers 1707.03516, arXiv.org.
  37. Aloui, Riadh & Ben Aïssa, Mohamed Safouane, 2016. "Relationship between oil, stock prices and exchange rates: A vine copula based GARCH method," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 458-471.
  38. Rakesh Gupta & Junhao Yang & Thadavillil Jithendranathan, 2017. "Diversification into Emerging Markets – An Australian and the US Perspective Using a Time-varying Approach," Australian Economic Papers, Wiley Blackwell, vol. 56(2), pages 134-162, June.
  39. Genius, Margarita & Stefanou, Spiro E. & Tzouvelekas, Vangelis, 2012. "Measuring productivity growth under factor non-substitution: An application to US steam-electric power generation utilities," European Journal of Operational Research, Elsevier, vol. 220(3), pages 844-852.
  40. Brück, Florian & Fermanian, Jean-David & Min, Aleksey, 2023. "A corrected Clarke test for model selection and beyond," Journal of Econometrics, Elsevier, vol. 235(1), pages 105-132.
  41. Sushma Vishnani & Nityanand Deva & Dheeraj Misra, 2024. "Value Relevance of Comprehensive Income reported as per IFRS-converged Indian Accounting Standards," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 31(3), pages 453-472, September.
  42. F. Marta L. Lascio & Simone Giannerini, 2019. "Clustering dependent observations with copula functions," Statistical Papers, Springer, vol. 60(1), pages 35-51, February.
  43. Wu, Yujia & Lan, Wei & Fan, Xinyan & Fang, Kuangnan, 2024. "Bipartite network influence analysis of a two-mode network," Journal of Econometrics, Elsevier, vol. 239(2).
  44. Mikołaj Czajkowski & Nick Hanley, 2008. "How to ‘Sell’ an Environmental Good: Using Labels to Investigate Scope Effects," Working Papers 2008-03, Faculty of Economic Sciences, University of Warsaw.
  45. Kevin A. Clarke, 2009. "Return of the Phantom Menace," Conflict Management and Peace Science, Peace Science Society (International), vol. 26(1), pages 46-66, February.
  46. Stavrakoudis, Athanassios & Panagiotou, Dimitrios, 2016. "Price dependence and asymmetric responses between coffee varieties," Agricultural Economics Review, Greek Association of Agricultural Economists, vol. 17(2), June.
  47. Yingying HAN & Xiang ZHOU, 2017. "The Relationship between Stock and Exchange Rates for BRICS Countries Pre - and Post - Crisis: A Mixed C - VINE Copula Model," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 38-59, March.
  48. Franziska Gaupp & Georg Pflug & Stefan Hochrainer‐Stigler & Jim Hall & Simon Dadson, 2017. "Dependency of Crop Production between Global Breadbaskets: A Copula Approach for the Assessment of Global and Regional Risk Pools," Risk Analysis, John Wiley & Sons, vol. 37(11), pages 2212-2228, November.
  49. Doron Sonsino & Yaron Lahav & Yefim Roth, 2022. "Reaching for Returns in Retail Structured Investment," Management Science, INFORMS, vol. 68(1), pages 466-486, January.
  50. Henry Laverde-Rojas & Juan C. Correa, 2019. "Can scientific productivity impact the economic complexity of countries?," Scientometrics, Springer;Akadémiai Kiadó, vol. 120(1), pages 267-282, July.
  51. Enrica Carbone & Xueqi Dong & John Hey, 2017. "Elicitation of preferences under ambiguity," Journal of Risk and Uncertainty, Springer, vol. 54(2), pages 87-102, April.
  52. E. Allevi & L. Boffino & M. E. Giuli & G. Oggioni, 2019. "Analysis of long-term natural gas contracts with vine copulas in optimization portfolio problems," Annals of Operations Research, Springer, vol. 274(1), pages 1-37, March.
  53. McDonald, James & Stoddard, Olga & Walton, Daniel, 2018. "On using interval response data in experimental economics," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 72(C), pages 9-16.
  54. Joel Hinaunye Eita & Charles Raoul Tchuinkam Djemo, 2022. "Quantifying Foreign Exchange Risk in the Selected Listed Sectors of the Johannesburg Stock Exchange: An SV-EVT Pairwise Copula Approach," IJFS, MDPI, vol. 10(2), pages 1-29, April.
  55. Claudia Czado & Holger Schabenberger & Vinzenz Erhardt, 2014. "Non nested model selection for spatial count regression models with application to health insurance," Statistical Papers, Springer, vol. 55(2), pages 455-476, May.
  56. Paul De Boer & Richard Paap, 2009. "Testing non‐nested demand relations: linear expenditure system versus indirect addilog," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 63(3), pages 368-384, August.
  57. Ait Sidhoum, Amer & Serra, Teresa, 2017. "Corporate social responsibility and dimensions of performance: An application to U.S. electric utilities," Utilities Policy, Elsevier, vol. 48(C), pages 1-11.
  58. Barth, Mary E. & Gow, Ian D. & Taylor, Daniel J., 2010. "Non-GAAP and Street Earnings: Evidence from SFAS 123R," Research Papers 2064, Stanford University, Graduate School of Business.
  59. Irena Mikolajun & Richard Paap & Jean-Marie Viaene & Olga Zelenko, 2016. "Trade Policy Options of Ukraine: East or West," Tinbergen Institute Discussion Papers 16-057/VI, Tinbergen Institute.
  60. Mildenberger, Carl David & Pietri, Antoine, 2018. "How does size matter for military success? Evidence from virtual worlds," Journal of Economic Behavior & Organization, Elsevier, vol. 154(C), pages 137-155.
  61. Olesia Verchenko, 2011. "Testing option pricing models: complete and incomplete markets," Discussion Papers 38, Kyiv School of Economics.
  62. Martin Magris, 2019. "A Vine-copula extension for the HAR model," Papers 1907.08522, arXiv.org.
  63. Al-Azzam, Moh'd & Carter Hill, R. & Sarangi, Sudipta, 2012. "Repayment performance in group lending: Evidence from Jordan," Journal of Development Economics, Elsevier, vol. 97(2), pages 404-414.
  64. Fontaine, Charles & Frostig, Ron D. & Ombao, Hernando, 2020. "Modeling non-linear spectral domain dependence using copulas with applications to rat local field potentials," Econometrics and Statistics, Elsevier, vol. 15(C), pages 85-103.
  65. Ferro, Giuseppe M. & Kovalenko, Tatyana & Sornette, Didier, 2021. "Quantum decision theory augments rank-dependent expected utility and Cumulative Prospect Theory," Journal of Economic Psychology, Elsevier, vol. 86(C).
  66. Righi, Marcelo Brutti & Ceretta, Paulo Sergio, 2013. "Analyzing the dependence structure of various sectors in the Brazilian market: A Pair Copula Construction approach," Economic Modelling, Elsevier, vol. 35(C), pages 199-206.
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