Working Papers

Working Papers

“To Use or Not to Use the Spatial Dulin Model, That is the Question” (with Malabiha Koley), Review Submitted to Spatial Economic Analysis, as asked by the journal. 

“A Formal Test for Density Forecast Evaluation” (with A. Ghosh). R & R for the Journal of Business & Economic Statistics as requested by the journal.

“Robust LM Tests: The sdpdlm R Package” (with O. Dogan, Y. Leiluo and S. Taspinar).

“Modeling Asymmetry and Excess Kurtosis in Stock Return Data” (with G. Premaratne). To be submitted to Finance Journal.

“Testing Spatial Dependence with GMM Gradient Tests” (with B. Guloglu and O. Dogan), submitted to the Journal of Spatial Econometrics.

“Testing Skewness, Kurtosis and Normality under Parameter Uncertainty” (with O. Dogan and S. Taspinar), submitted to the Journal of Time Series Analysis.

“Tests for Nonlinear Restrictions under Local Misspecifications with an Application to Testing Rational Expectation Hypothesis” (with G. Montes – Rojas, W. Sosa – Escudero and J. Alego), submitted to the Journal of Business and Economic Statistics.

“Bayesian Inference in Spatial Stochastic Volatility Models with an Application to House Price Returns in Chicago” (with S. Taspinar, O. Dogan and J. Chae), submitted to the Journal of Business and Economic Statistics.

“Bayesian Estimation of the Tail Index from High Frequency Financial Data” (with O. Dogan, and S. Taspinar), submitted to the Journal of Financial Econometrics.

“Asymptotic Variance of Test Statistics in ML and QML Frameworks” (with O. Dogan and S. Taspinar). Submitted to Econometric Journal.

“Simple Tests for Spatial Autoregressive Models with Endogenous Weight Matrices” (with O. Dogan and S. Taspinar). Ready to submit: Journal of Econometrics.

“Specification Testing for Panel Spatial Models with Misspecification” (with O.Dongan, S. Taspinar and M. Sen), R & R for the Regional Science and Urbana Economics. 

“Scalar Measures of Volatility and Dependence for the Multivariate Models of Financial Markets” (with S. Kim). To be submitted soon as an Invited Book Chapter. 

“Estimation of Random Components and Prediction in One-and Two-Way Error Component Regression Models” (with S. Sharma). Submitted to the Journal of Statistical Theory and Practice.