This paper shows that the standard Newey-West GMM based test is sensitive to the presence of locally misspecified alternatives. In particular, such test is shown to have incorrect size when the null model is locally ...

Hansen and Jagannathan (1997) compare misspecified asset pricing models based on least-square projections on a family of admissible stochastic discount factors. We extend their fundamental contribution by considering Minimum ...

The thesis consists in three articles about the estimation of asset pricing models. The first paper analyses small sample properties of Generalized Empirical Likelihood estimators for the risk aversion parameter in CRRA ...

We review some issues related to the implications of different missing data mechanisms on statistical inference for contingency tables and consider simulation studies to compare the results obtained under such models to ...

The likelihood-based theory is often used in solving problems in various areas of statistics. One of the basic assumptions of inference based on this theory is that the chosen model correctly summarizes the data. When ...

We propose a multistate joint model to analyze interval-censored event-history data subject to within-unit clustering and nonignorable missing data. The model is motivated by a study of the neurocysticercosis (NC) cyst ...

In order to obtain evidences about construct validity through Confirmatory Factor Analysis, it has been usual treating Likert-type scales as if they were continuous variables measured on an interval scale. Therefore, Maximum ...

Assessing the significance of the correlation between the components of a bivariate random field is of great interest in the analysis of spatial data. This problem has been addressed in the literature using suitable ...