A versatile and robust metric entropy test of time-reversibility,and other hypotheses

We examine the performance of a metric entropy statistic as a robust test for time-reversibility (TR), symmetry, and serial dependence. It also serves as a measure of goodness-of-fit. The statistic provides a consistent and unified basis in model search, and is a powerful diagnostic measure with surprising ability to pinpoint areas of model failure. We provide empirical evidence comparing the performance of the proposed procedure with some of the modern competitors in nonlinear time-series analysis, such as robust implementations of the BDS and characteristic function-based tests of TR, along with correlation-based competitors such as the Ljung–Box Q-statistic. Unlike our procedure, each of its competitors is motivated for a different, specific, context and hypothesis. Our evidence is based on Monte Carlo simulations along with an application to several stock indices for the US equity market.     

Natural selection as a paradigm of opportunism in biology

The success of extant species is largely due to their ability to adapt in the face of constantly changing environmental conditions. Natural selection is the biological mechanism that takes advantage of opportunities to promote spontaneous variations and facilitate evolutionary development. The character of this biological opportunism is considered here, placing it firmly within the context of various social and economic principles—notably individualism, industrialism, utilitarianism and consequentialism—that have characterised the philosophy of the modern era. However, this purely opportunistic approach, and its myopic emphasis on immediate problem solving, has serious shortcomings within both life and business practice. These are examined here in contrast to some of the alternative approaches found in biology and economics theory. The nature and relationship of function to utility in biology is also given particular consideration, as is the issue of incrementalism in the development of complex adaptive features. The methodological reductionism at the heart of evolutionary biology certainly does offer insightful empirical results reported in the scientific literature. Nonetheless, natural selection is observed to be a purely reflexive mechanism and not one capable of producing the kind of innovation necessary for the more revolutionary changes in an organism’s systems.     

Ordering univariate distributions by entropy and variance

This paper examines the role of variance and entropy in ordering distributions and random prospects. There is no universal relation between entropy and variance orderings of distributions. But we place their relationship in the context of a stronger ordering relation known as dispersion ordering. Further, some conditions are identified under which variance and entropy order similarly when continuous variables are transformed. We also analyze parametric changes which do not disturb the agreement between these rankings. The results are conveniently tabulated in terms of distribution parameters.     

The trend and the measurement of world inequality over extended periods of accounting

The principal result of this paper is the demonstration of a method for measuring an index of (e.g.) nominal GNP over extended periods of time and the inequality thereof. ‘Snap shot’ inequality for specific points in 1964, 1972 and 1980 is also reported and decomposed for six subgroups in 122 countries.     

Misspecified polynomial detrending

This letter shows that substantial errors result in linear detrending of the data when a linear trend is inappropriate. These errors increase without bound with increasing sample size! Also, the reliability of the linear trend is overstated.     

The effect of the shape of the income distribution on two inequality measures

This letter describes the effect of skewness and kurtosis of the log-income distribution on two measures of income inequality. Positive skewness and leptokurtosis affect inequality positively.     

Tests for structural change,aggregation, and homogeneity

Structural change can be considered by breaking up a sample into subsets and asking if these can be aggregated or pooled. Strategies for constructing tests for aggregation and structural change in this setting have not received sufficient attention in the literature. Our methodology for testing generalizes to multiple regimes a discussion of Pesaran et al. (1985) for the case of two regimes. This treatment permits a unified approach to a large number of testing problems discussed separately in the literature, as special cases or as parts of a test of homogeneity. We also provide a simple alternative to much more complex testing strategies currently being researched and developed in testing for structural change.     

Oil prices and the real exchange rate in Iran: an ARDL bounds testing approach

This article examines the impact of oil prices on the real exchange rate in Iran during the 1961–2014 period using the autoregressive distributed lag approach to cointegration as the estimation method. We find that higher oil prices lead to appreciation of the real exchange rate. The results reveal that oil prices have both short-run and long-run effects on the real exchange rate.     

Consistent Testing for Stochastic Dominance under General Sampling Schemes

We propose a procedure for estimating the critical values of the extended Kolmogorov–Smirnov tests of Stochastic Dominance of arbitrary order in the general  K  -prospect case. We allow for the observations to be serially dependent and, for the first time, we can accommodate general dependence amongst the prospects which are to be ranked. Also, the prospects may be the residuals from certain conditional models, opening the way for conditional ranking. We also propose a test of Prospect Stochastic Dominance. Our method is based on subsampling and we show that the resulting tests are consistent and powerful against some  N^−1/2  local alternatives. We also propose some heuristic methods for selecting subsample size and demonstrate in simulations that they perform reasonably. We describe an alternative method for obtaining critical values based on recentring the test statistic and using full-sample bootstrap methods. We compare the two methods in theory and in practice.     

Growth and convergence: A profile of distribution dynamics and mobility

In this paper we focus primarily on the dynamic evolution of the world distribution of growth rates in per capita GDP. We propose new concepts and measures of “convergence,” or “divergence” that are based on entropy distances and dominance relations between groups of countries over time.