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This article investigates the robustness of impulse response estimators to near unit roots and near cointegration in vector autoregressive (VAR) models. We compare estimators based on VAR specifications determined by pretests for unit roots and cointegration as well as unrestricted VAR specifications in levels. Our main finding is that the impulse response estimators obtained from the levels specification tend to be most robust when the magnitude of the roots is not known. The pretest specification works well only when the restrictions imposed by the model are satisfied. Its performance deteriorates even for small deviations from the exact unit root for one or more model variables. We illustrate the practical relevance of our results through simulation examples and an empirical application.

Within spatial econometrics a whole family of different spatial specifications has been developed, with associated estimators and tests. This lead to issues of model comparison and model choice, measuring the relative merits of alternative specifications and then using appropriate criteria to choose the “best” model or relative model probabilities. Bayesian theory provides a comprehensive and coherent framework for such model choice, including both nested and non-nested models within the choice set. The paper reviews the potential application of this Bayesian theory to spatial econometric models, examining the conditions and assumptions under which application is possible. Problems of prior distributions are outlined, and Bayes factors and marginal likelihoods are derived for a particular subset of spatial econometric specifications. These are then applied to two well-known spatial data-sets to illustrate the methods. Future possibilities, and comparisons with other approaches to both Bayesian and non-Bayesian model choice are discussed.

An important but often overlooked obstacle in multivariate discrete data models is the specification of endogenous covariates. Endogeneity can be modeled as latent or observed, representing competing hypotheses about the outcomes being considered. However, little attention has been applied to deciphering which specification is best supported by the data. This paper highlights the use of existing Bayesian model comparison techniques to investigate the proper specification for endogenous covariates and to understand the nature of endogeneity. Consideration of both observed and latent modeling approaches is emphasized in two empirical applications. The first application examines linkages for banking contagion and the second application evaluates the impact of education on socioeconomic outcomes.

The purpose of this paper is to propose a methodology that determines vehicle-level specifications for new-car program by balancing market environments and engineering feasibility in the early stages of the vehicle development processes using statistical analysis of historical data.

The proposed methodology effectively captures the interplay among key factors in preliminary vehicle planning: engineering feasibility constraints, market demands, and economic conditions. Engineering design constraints, derived by statistical analysis of historical data, define the strategic feasible space. Within the defined design space, the methodology determines a set of specifications that maximize the customer utility which is built as a function of preferences on each attribute of a vehicle.

The present paper develops an “extrapolation” approach using historical vehicle data, rather than attempt to model a complex system with limited information. In doing so, the proposed approach avoids the difficulties of understanding an entire complex system by determining only the moderate level of specifications. Moreover, its quantification of revealed customer preferences as expressed in sales data resolves the confusions in vehicle planning arising from the translation of customer requirements to engineering specification.

The proposed methodology can provide feasible prediction values with a new, historical-data-based statistical approach that effectively surmounts the difficulty of mechanically understanding complex systems. Moreover, through quantification of the target market's customer requirements as well as effects of market-environmental changes, the methodology enables designers to plan complex products for new concept in objective and reasonable manner.

Hausman (1978) represented a tectonic shift in inference related to the specification of econometric models. The seminal insight that one could compare two models which were both consistent under the null spawned a test which was both simple and powerful. The so-called ‘Hausman test’ has been applied and extended theoretically in a variety of econometric domains. This paper discusses the basic Hausman test and its development within econometric panel data settings since its publication. We focus on the construction of the Hausman test in a variety of panel data settings, and in particular, the recent adaptation of the Hausman test to semiparametric and nonparametric panel data models. We present simulation experiments which show the value of the Hausman test in a nonparametric setting, focusing primarily on the consequences of parametric model misspecification for the Hausman test procedure. A formal application of the Hausman test is also given focusing on testing between fixed and random effects within a panel data model of gasoline demand.

This paper examined the volatility models for exchange rate return, including Random Walk model, AR model, GARCH model and extensive GARCH model, with Normal and Student-t distribution assumption as well as nonparametric specification test of these models. We fit these models to Bangladesh foreign exchange rate index from January 1999 to December 31, 2012. The return series of Bangladesh foreign exchange rate are leptokurtic, significant skewness, deviation from normality as well as the returns series are volatility clustering as well. We found that student t distribution into GARCH model improves the better performance to forecast the volatility for Bangladesh foreign exchange market. The traditional likelihood comparison showed that the importance of GARCH model in modeling of Bangladesh foreign market, but the modern nonparametric specification test found that RW, AR and the model with GARCH effect are still grossly mis-specified. All these imply that there is still a long way before we reach the adequate specification for Bangladesh exchange rate dynamics.

The adoption of a model‐building approach to marketing is today inevitable, due to improvements in hardware and software and the increased professionalisation of marketing and its techniques. Aggregate response models are focused upon, particularly the issues of which responses are realistic and should be modelled, how the response can be expressed and how a choice can be made between options available. The traditional model‐building process is described, and the inclusion of correct variables found to be critical, the primary means of doing this being statistical analysis. Simple expressions perform as effectively as more complex ones, and should be used if able to give operationally meaningful results. Cross‐correlation analysis and biased estimation techniques provide good guides to usable variables and their effects.

This is a survey paper of the recent literature on the application of semiparametric–econometric advances to testing for functional form of the environmental Kuznets curve (EKC). The EKC postulates that there is an inverted U-shaped relationship between economic growth (typically measured by income) and pollution; that is, as economic growth expands, pollution increases up to a maximum and then starts declining after a threshold level of income. This hypothesized relationship is simple to visualize but has eluded many empirical investigations. A typical application of the EKC uses panel data models, which allows for heterogeneity, serial correlation, heteroskedasticity, data pooling, and smooth coefficients. This vast literature is reviewed in the context of semiparametric model specification tests. Additionally, recent developments in semiparametric econometrics, such as Bayesian methods, generalized time-varying coefficient models, and nonstationary panels are discussed as fruitful areas of future research. The cited literature is fairly complete and should prove useful to applied researchers at large.

Web site recommendation systems help to get high quality information. The modelling of recommendation systems involves the combination of many features: metrics of quality, quality criteria, recommendation criteria, user profile, and specific domain concepts, among others. At the moment of the specification of a recommendation system it must be guaranteed a right interrelation of all of these features. The purpose of this paper is to model a web site quality‐based recommendation system by an ontology network.

In this paper, the authors propose an ontology network based process for web site recommendation modelling. The ontology network conceptualizes the different domains (web site domain, quality assurance domain, user context domain, recommendation criteria domain, specific domain) in a set of interrelated ontologies. Particularly, this approach is illustrated for the health domain.

Basically, this work introduces the semantic relationships that were used to construct this ontology network. Moreover, it shows the usefulness of this ontology network for the detection of possible inconsistencies when specifying recommendation criteria.

Recommendation systems based on ontologies that model the user profile and the domain of resources to be recommended are quite common. However, it is uncommon to find models that explicitly represent the criteria used by the recommender systems, that express the quality dimensions of resources and on which criteria are applied, and consider the user context at the moment of the query.