Two of the fastest growing frontiers in econometrics and quantitative finance are time series and financial econometrics. Significant theoretical contributions to financial econometrics have been made by experts in statistics, econometrics, mathematics, and time series analysis. The purpose of this special issue of the journal on “Frontiers in Time Series and Financial Econometrics” is to highl...

A new semiparametric time series model is introduced – the transition (SETR) that generalizes threshold and smooth models by letting function to be of an unknown form. Estimation based on a combination (local) least squares estimations regression parameters. The asymptotic behavior for coefficient estimator SETR established, including its oracle property. Monte Carlo simulations demonstrate pro...

Article history: Received 7 October 2014 Received in revised form 28 January 2015 Accepted 28 January 2015 Available online 7 February 2015 The objectives of this study are two-fold: i) to derive time-varying exchange rate pass-through (ERPT) degree and ii) investigate the macroeconomic determinants of the degree of ERPT. For this purpose, the study adopts a distinct methodology combining Dynam...

First hitting time models are a technique of modeling a stochastic process as it approaches or avoids a boundary, also known as a threshold. The process itself may be unobservable, making this a difficult problem. Regression techniques, however, can be employed to model the data as it compares to the threshold, creating a class of first hitting time models called threshold regression models. Su...

Laffer curve indicates relationship between tax rate and tax income. The aim of this paper is estimating of laffer curve in Iranian economy. To do so, we have used threshold regression method. Empirical results indicate that since the tax rate is low (the threshold value is less than 0.0848) in two-regime model, tax rate and tax income have a significant positive relationship, but when the tax ...

to evaluate the effect of different rates of nitrogen fertilizer on competitive ability of canola (okapi cv.) in interference with wild mustard, a split-plot experiment based on a randomized complete block design with 3 replications was carried out at agricultural faculty of bu-ali sina university, in 2008-2009. 4 levels of nitrogen fertilization (100, 150, 200 and 250 kg n ha-1) were assigned ...

This study examines the impact of regional old-age dependency ratio on collection efficiency public pension funds using statistical data contributions schemes for urban employees in 31 Chinese provinces and municipalities between 2010 2015. An inverted U-curve relationship rate was observed with a single threshold value .5439, thus, suggesting need change soft constraints responsibility an opti...