Publications

(Click the paper names to read)


Books and Monographs
          Financial Econometrics and Empirical Market Microstructure, Co-Editor (with S. Ivliev and F. Lillo), Springer International Publishing, 2015, 284 pages.

Rao’s Score Test and Its Applications, Co-Editor (with R. Mukerjee), Special Issue of the Journal of Statistical Planning and Inference, Volume 97, August 2001, 200 pages.

 

Parts of Books (Chapters)

History of the Indian Statistical Institute – Numbers and Beyond (1931-1947) (with J.K. Ghosh and P. Maiti), in Science and Modern India: An Industrial History: 1784-1947, U. Dasgupta, Editor. Project of History of Indian Science, Philosophy and Culture, Center for Studies in Civilization, Ministry of Human Resource Development, Government of Indian, 2011, pp.1013 -1056.

 

Estimating Functions and Equations: An Essay on Historical Developments with Applications to Econometrics” (with Y. Bilias and P. Simlai), in Palgrave Handbook of Econometrics, Volume 1, Econometric Theory, T.C. Mills and K. Patterson, Editors, 2006, pp. 427-476.

 

Test for Error Component Model in the Presence of Local Misspecification” (with W. Sosa-Escudero and M. Yoon), in Recent Development in the Econometrics of Panel Data, B. Baltagi, Editor, Edward Elgar Publishing, 2003.

 

Neyman’s Smooth Test and Its Applications in Econometrics” (with A. Ghosh), in Handbook of Applied Econometrics and Statistical Inference, A. Ullah, A. Wan and A. Chaturvedi, Editors, Marcel Dekkar, 2002, pp. 177-230.

 

Information Matrix Tests for the Composed Error Frontier Model” (with N.C. Mallick), in Advances on Methodological and Applied Aspects of Probability and Statistics, N. Balakrishnan, Editor, Gordon and Breach Science Publishers, 2002, pp. 575-596.

 

General Hypothesis Testing” (with G. Premaratne), in A Companion to Theoretical Econometrics, B. Baltagi, Editor, Blackwell Publishers, 2001, pp. 38-61.

 

Hypothesis Testing in the 20th Century with a Special Reference to Testing with Misspecified Models,” in Statistics for the 21st Century: Methodologies for Applications of the Future, C.R. Rao and Gabor J. Szekely, Editors, Marcel Dekkar, 2000, pp. 33-92.

 

A Survey of ARCH Models” (with M. Higgins), in Volatility: New Techniques for Pricing Derivatives and Managing Financial Portfolios, R. Jarrow, Editor, Risk Publications, 1998, pp. 23-58.

 

Spatial Dependence in Linear Regression Models with an Introduction to Spatial Econometrics” (with L. Anselin), in The Handbook of Applied Economic Statistics, A. Ullah and D. Giles, Editors, Marcel Dekkar, 1998, pp. 237-289.

 

Hypothesis Testing for Some Nonregular Cases in Econometrics” (with S. Ra and N. Sarkar), in Econometrics: Theory and Practice, S. Chakravarty, D. Coondoo and R. Mukherjee, Editors, Allied Publishers, 1998. pp. 319-351.

 

ARCH Models: Properties Estimation and Testing” (with M. L. Higgins), in Survey in Econometrics, L. Oxley, D. George, C. Roberts and S. Sayer, Editors, Blackwell Publishers, 1994, pp. 215-272.

 

The ARCH Effects and Efficient Estimation of Hedge Ratios for Stock Index Futures” (with H. Park and E. Bubnys), in Advances in Futures and Options Research, D. M. Chance and R. R. Trippi, Editors, JAI Press, 1993, pp. 313-328.

 

Bayesian Estimation of Systematic Risk Using Hierarchical and Nonnormal Priors” (with J. Machado), in Readings in Econometrics in Honor of George Judge, W. Griffiths, H. Lutkepohl and M. E. Bock, Editors, North Holland, 1992, pp. 143-157.

 

Refereed Articles

"Tests for Normality Based on the Quantile-mean Covariance" (with J.Alejo, A. Galvo, and G. Montes Rojas and Z. Xiao), The Stata Journal, 2017, forthcoming.

"Testing Spatial Dependence when a Nuisance parameter is not Identified Under the Null Hypothesis" (with Y-H Kao), Annals of Regional Science, 2017, forthcoming.

"Spatial Dependence in Financial Data: Importance of the Weight Matrix" (with S. Er and N. Fidan-Keçeci), Arthaniti (Econometric Theory), 2017, pp. 30-44.

"GMM Gradient Tests for Spatial Dynamic Panel Data Models" (with S. Taspinar and O. Dogan), Regional Science and Urban Economics, 2017, pp. 65-88.

"Robustness of Validity and Efficiency of Rao’s Score Tests Under Local Misspecification" (with G. Montes-Rojas and W. Sosa-Escudero), Communications in Statistics, Theory and Method, 2016.

"Which Quantile is Most Informative? Maximum Likelihood, Maximum Entropy and Quantile Regression" (with A. Galvo, G. Montes Rojas and S. Park), Journal of Econometric Methods, 2016.

"A New Characterization of the Normal Distribution and Test for Normality" (with A. Galvo, L. Wang and Z. Xiao), Econometric Theory, 2015, forthcoming.

"Adjusting the Tests for Skewness and Kurtosis for Distributional Misspecifications(with G. Premaratne), Communications in Statistics, Simulation and Computation, 2015, pp. 1-27.

The Improbable Nature of Implied Correlation Matrix of Spatial Autoregressive Model" (with M. Sen)Regional Statistics, 2014, 4, pp. 3-15.

"On Testing the Equality of Mean and Quantile Effects" (with A. Galvo and L. Wang), Journal of Econometric Methods, 2014, 3, pp. 47-62.

"Testing Equality of Two Densities Using Neyman’s Smooth Test" (with A. Ghosh and Z. Xiao), Econometric Theory, 2013, 29, pp.419-446.

"Smooth Test for Equality of Distributions" (with A. Ghosh and Z. Xiao), Econometric Theory, 2013, 29, pp. 419-446.

"The ET Interview: Professor George Judge", Econometric Theory, 2013, 29, pp.153-186.

"A Hausman Test for Spatial Regression Model" (witMonalisa Sen and Yu-Hsien Kao), Essays in Honors of Jerry Hausman (Advances in Econometrics, Volume 29), 2012, pp. 547-559.

General Specification Testing with Locally Misspecified Models” (with G. Montes-Rojas and W. Sosa-Escudero), Econometric Theory, 2010, 26, pp.1838-1845.

Maximum Entropy Autoregressive Conditional Heteroskedasticity Model” (with S. Park), Journal of Econometrics, 2009, 150,219-230.

Testing Under Local Misspecification and Artificial Regressions” (with G. Montes-Rojas and W. Sosa-Escudero), Economics Letters, 2009,104, pp.66-68.

Optimal Portfolio Diversification Using the Maximum Entropy Principle” (with S. Park), Econometric Reviews, 2008, 27, pp. 484-512.

Tests for Unbalanced Error-Components Models Under Local Misspecification” (with W. Sosa-Escudero), The Stata Journal, 2008, 8, pp. 68-78.

A Test for Symmetry with Leptokurtic Financial Data” (with G. Premaratne), Journal of Financial Econometrics, 3, 2005, pp. 169-187.

Financial Data Analysis Using Maximum Entropy Approach” (with S. Park), Proceedings of the International Statistical Conference, Sri Lanka, 2004, pp. 89-105.

“ET Interview with Professor C. R. Rao”, Econometric Theory, 19, 2003, pp. 329-398.

The MM, ME, ML, EL, EF and GMM Approaches to Estimation: A Synthesis” (with Y. Bilias), Journal of Econometrics, 107, 2002, pp. 51-86.

"Testing Constancy of Correlation and Other Specifications of the BGARCH Model with an Application to International Equity Returns” (with S. Kim), Journal of Empirical Finance, 9, 2002, pp. 171-195.

On Some Heteroskedasticity-Robust Estimators of Variance-Covariance Matrix of the Least-Squares Estimators” (with T. Suprayitno and G. Premaratne), Journal of Statistical Planning and Inference, 108, 2002, pp. 121-136.

Robust Tests for Heteroskedasticity and Autocorrelation Using Score Function” (with Pin Ng), Journal of The Indian Society of Probability and Statistics, 6, 2002, pp. 78-96.

Specification Tests for Linear Panel Data Models” (with W. Sosa-Escudero), Stata Technical Bulletin, STB-61, 2001, pp. 18-21.

On Some Optimality Properties of Fisher-Rao Score Function in Testing and Estimation” (with Y. Bilias), Communications in Statistics, Theory and Method, 30, 2001, pp. 1533-1559.

Rao’s Score, Neyman’s C([alpha]) and Silvey’s LM Tests: An Essay on Historical Developments and Some New Results” (with Y. Bilias), Journal of Statistical Planning and Inference, 97, 2001, pp. 9-44.

Tests for the Error Component Model in the Presence of Local Misspecification”(with W. Sosa-Escudero and M.J. Yoon), Journal of Econometrics, 101, 2001, pp. 1-23.

Estimating Production Uncertainty in Stochastic Frontier Production Function Models” (with S. Sharma), Journal of Productivity Analysis, 12, 1999, pp. 187-210.

Estimation of Time-Varying Hedge Ratios for Corn and Soybeans: BGARCH and Random Coefficient Approaches” (with P. Garcia and J-S. Roh), Sankhya, 59, 1998, pp. 346-368.

ARCH and Bilinearity as Competing Models for Nonlinear Dependence” (with M. L. Higgins), Journal of Business and Economic Statistics, 15, 1997, pp. 43-50.

Testing for the Regression Coefficient Stability” (with S. Ra), Journal of Quantitative Economics, 13, 1997, pp. 17-35.

Simple Diagnostic Tests for Spatial Dependence” (with L. Anselin, R. Florax and M. J. Yoon), Regional Science and Urban Economics, 26, 1996, pp. 77-104.

Random Coefficient Formulation of Conditional Heteroskedasticity and Augmented ARCH Models” (with M. L. Higgins and S. Lee), Sankhya, 58, 1996, pp. 199-220.

Specification Test for a Linear Regression Model with ARCH Process” with X-L. Zuo), Journal of Statistical Planning and Inference, 50, 1996, pp. 283-308.

Tests for Normality Using Estimated Score Function” (with P. T. Ng), Journal of Statistical Computation and Simulation, 52, 1995, pp. 273-287.

A Test for the Presence of Conditional Heteroskedasticity within ARCH-M Framework” (with S. Ra), Econometric Reviews, 14, 1995, pp. 473-485.

Information Matrix Test, Parameter Heterogeneity and ARCH: A Synthesis” (with S. Lee), Review of Economic Studies, 60, 1993, pp. 229-240.

Specification Testing with Locally Misspecified Alternatives” (with M. J. Yoon), Econometric Theory, 9, 1993, pp. 649-658.

Mean Square Error Comparison of Pretest and Other Estimators for Zellner’s SURE Model” (with A. Ozcam, G. Judge and T. Yancey), Journal of Quantitative Economics, 9, 1993, pp. 41-52.

ARCH Models: Properties, Estimation and Testing” (with M. L. Higgins), Journal of Economic Surveys, 7, 1993, pp. 305-366.

Interaction Between Autocorrelation and Conditional Heteroskedasticity: A Random Coefficient Approach” (with M. L. Higgins and S. Lee), Journal of Business and Economic Statistics, 10, 1992, pp. 133-142.

A Test for Conditional Heteroskedasticity in Time Series Models” (with M. L. Higgins), Journal of Time Series Analysis, 13, 1992, pp. 501-519.

Joint Tests of Non-Nested Models and General Error Specifications” (with M. McAleer, H. Pesaran and M. Yoon), Econometric Reviews, 11, 1992, pp. 97-117.

A Class of Nonlinear ARCH Models” (with M. L. Higgins), International Economic Review, 33, 1992, pp. 137-158.

Rao’s Score Test in Econometrics” (with A. Ullah), Journal of Quantitative Economics, 7, 1991, pp. 189-220.

Alternative Approaches to Testing Non-Nested Models with Autocorrelated Disturbances” (with M. McAleer and H. Pesaran), Communications in Statistics, Theory and Method, 19, 1990, pp. 3619-3644.

Linearized Estimation of Nonlinear Simultaneous Equation Systems” (with R. P. Byron), Journal of Quantitative Economics, 6, 1990, pp. 289-309.

Adoption of High Yielding Rice Varieties in Bangladesh: An Econometric Analysis” (with T. Kelley), Journal of Development Economics, 33, 1990, pp. 263-285.

Nested and Non-nested Procedures for Testing Linear and Log-Linear Regression Models” (with M. McAleer), Sankhya, Series B., 50, 1989, pp. 212-224.

Tests for Serial Dependence and Other Specification Analysis in Models of Markets in Disequilibrium” (with P. M. Robinson), Journal of Business and Economic Statistics, 7, 1989, pp. 343-352.

A Joint Test for ARCH and Bilinearity in the Regression Model” (with M. L. Higgins), Econometric Reviews, 7, 1989, pp. 171-181.

Checks of Model Adequacy for Univariate Time Series Models and Their Applications to Econometric Relationships: Comment” (with P. Newbold), Econometric Reviews, 7, 1988, pp. 43-48.

Conditional and Unconditional Heteroscedasticity in the Market Model” (with E. Bubnys and H. Y. Park), Financial Review, 23, 1988, pp. 201-214.

A Test for Normality of Observations and Regression Residuals” (with C. M. Jarque), International Statistical Review, 55, 1987, pp. 163-172.

Interest-Rate Volatility, Basis Risk and Heteroscedasticity in Hedging Mortgages” (with H. Y. Park), Journal of the American Real Estate & Urban Economics Association, 15, 1987, pp. 79-97.

On Exact and Asymptotic Tests of Non-Nested Models” (with M. McAleer), Statistics and Probability Letters, 5, 1987, pp. 19-22.

Additivity and Separability of the Lagrange Multiplier, Likelihood Ratio and Wald Tests” (with C. R. McKenzie), Journal of Qualitative Economics, 3, 1987, pp. 53-63.

An Adjustment Procedure for Predicting Systematic Risk” (with S. Kannan), Journal of Applied Econometrics, 1, 1986, pp. 317-332.

Testing Normality with Stable Alternatives” (with C. R. McKenzie), Journal of Statistical Computation and Simulation, 25, 1986, pp. 37-52.

Alternative Forms and Properties of the Score Test” (with C. R. McKenzie), Journal of Applied Statistics, 13, 1986, pp. 13-25.

Tests for Serial Defendence in Limited Dependent Variable Models” (with P. M. Robinson and C. M. Jarque), International Economic Review, 26, 1985, pp. 629-638.

The Use of Linear Approximation to Nonlinear Regression Analysis,” Sankhya, Series B, 46, 1984, pp. 285-290.

Testing for the Normality Assumption in Limited Dependent Variable Models” (with C. M. Jarque and L. F. Lee), International Economic Review, 25, 1984, pp. 563-578.

A Note on the Effects of Linear Approximation on Hypothesis Testing” (with R. P. Byron), Economics Letters, 12, 1983, pp. 251-254.

Tests for Multivariate Normality with Pearson Alternatives” (with S. John), Communications in Statistics, A12, 1983, pp. 103-117.

Least Squares Approximations to Unknown Regression Functions: A Comment” (with R. P. Byron), International Economic Review, 24, 1983, pp. 255-260.

Some Exact Tests for Model Specification” (with M. McAleer), Review of Economics and Statistics, 65, 1983, pp. 351-354.

Model Specification Tests Against Non-Nested Alternatives: Comment” (with M. McAleer), Econometric Reviews, 2, 1983, pp. 121-130.

Linearized Estimation of Nonlinear Single Equation Functions” (with R. P. Byron), International Economic Review, 24, 1983, pp. 237-248.

Model Specification Tests: A Simultaneous Approach” (with C. M. Jarque), Journal of Econometrics, 20, 1982, pp. 59-82.

A New Test for Normality,” Economics Letters, 9, 1982, pp. 263-268.

Efficient Specification Tests for Limited Dependent Variable Models” (with C. M. Jarque), Economics Letters, 9, 1982, pp. 153-160.

A Note on Testing Demand Homogeneity,” Journal of Econometrics, 18, 1982, pp. 291-294.

Further Evidence on Asymptotic Tests for Homogeneity and Symmetry in Large Demand Systems” (with R. P. Byron and C. M. Jarque), Economics Letters, 8, 1981, pp. 101-105.

Efficient Tests for Normality, Homoscedasticity and Serial Independence of Regression Residuals: Monte Carlo Evidence (with C. M. Jarque), Economics Letters, 7, 1981, pp. 313-318.

Efficient Tests for Normality, Homoscedasticity and Serial Independence of Regression Residuals” (with C. M. Jarque), Economics Letters, 6, 1980, pp. 255-259.

 

Articles in Non-Refereed Journals

1997 Illinois Economic Forecast” (with H. Westbrook), Illinois Business Review, 53, 1996, pp. 4-8.

1996 Illinois Economic Forecast” (with H. Westbrook), Illinois Business Review, 52, 1995, pp. 5-9.

“1995 Illinois Economic Forecast” (with G. H. Peebles and H. Westbrook), Illinois Business Review, 51, 1994, pp. 5-9.

 

Published Proceedings and Congressional Hearings

“Neyman’s Smooth Test and Its Use in Statistics and Econometrics” (with A. Ghosh), Proceedings of the International Conference on Recent Developments in Statistics and Probability and Their Applications, 2001, pp. 43-45.

“Rao’s Score, Neyman’s C([alpha]) and Silvey’s LM Tests: An Essay on Historical Developments and Some New Results” (with Y. Billias), Proceedings of the American Statistical Association, Business and Economic Statistics Section, 1997, pp. 18-27.

Testing Constancy of Correlation with an Application to International equity Returns” (with S. Kim), Proceedings of the Fourth International Conference on Investments and Derivatives, Tokyo, 1997.

“Simple Diagnostic Tests for Spatial Dependence” (with L. Anselin, R. Florax and Mann J. Yoon), Proceedings of the Osaka Econometrics Conference, 1995, pp. 287-309.

“A Large Sample Normality Test Using the Score Function” (with P. T. Ng), Proceedings of the American Statistical Association, Business and Economic Statistics Section, 1994.

“A Test for Conditional Heteroskedasticity in Time Series Models” (with M. L. Higgins), Proceedings of the Pre-conference of the Far Eastern Meeting of the Econometric Society, 1991, pp. 251-288.

“General Functional Forms for ARCH Models” (with M. L. Higgins), Proceedings of the American Statistical Association, Business and Economic Statistics Section, 1991, pp. 260-265.

 

Book Reviews

Econometric Analysis, by William H. Greene in the Journal of the American Statistical Association, 89, 1994, pp. 1567-1569.

Statistical Methods in Econometrics, by Ramu Ramanathan in the Journal of the American Statistical Association, 89, 1994, pp. 1144-1145.

The Econometrics of Disequilibrium, by Richard E. Quandt in the Journal of Economic Literature, 29, 1991, pp. 1746-1748.

Specification Analysis in the Linear Model, M. L. King and D. E. A. Giles, Editors, in the Journal of Economic Literature, 27, 1989, pp. 620-622.