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Anil K. Bera

University of Illinois at Urbana-Champaign - Department of Economics

410 David Kinley Hall

1407 W. Gregory

Urbana, IL 61801

United States

  • University of Illinois at Urbana-Champaign - Department of Economics

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    • Tel: 217-333-4596
    • Fax: 217-244-6678
SCHOLARLY PAPERS

23

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75

Scholarly Papers (23)

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1.

Modeling Asymmetry and Excess Kurtosis in Stock Return Data

Illinois Research & Reference Working Paper No. 00-123
Number of pages: 25 Posted: 12 Feb 2001
Gamini Premaratne, Gamini Premaratne and Anil K. Bera
University of Illinois at Urbana-Champaign - Department of EconomicsUniversity of Brunei Darussalam and University of Illinois at Urbana-Champaign - Department of Economics
Downloads 2,263 (16,585)
Citation 50

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Pearson type IV, Excess Kurtosis, Skewness, GARCH

2.

Neyman's Smooth Test and its Applications in Econometrics

Downloads 780 (79,525)
Citation 1

Neyman's Smooth Test and its Applications in Econometrics

Number of pages: 55 Posted: 11 Jun 2001
Aurobindo Ghosh and Anil K. Bera
LKCSB, SMU and University of Illinois at Urbana-Champaign - Department of Economics
Downloads 780 (78,218)
Citation 1

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smooth test, goodness-of-fit tests, probability integral transform, unbiased test, score test, density forecast evaluation, calibration, orthogonal polynomials, predictive density, data-driven methods

Neyman's Smooth Test and its Applications in Econometrics

Handbook of Applied Econometrics and Statistical Inference, Forthcoming
Posted: 23 Jul 2001
Aurobindo Ghosh and Anil K. Bera
LKCSB, SMU and University of Illinois at Urbana-Champaign - Department of Economics

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smooth test, goodness-of-fit tests, probability integral transform, unbiased test, score test, density forecast evaluation, calibration, orthogonal polynomials, predictive density, data-driven methods

3.

A Test for Asymmetry with Leptokurtic Financial Data

University of Illinois Economics Working Paper
Number of pages: 23 Posted: 15 Aug 2001
Gamini Premaratne, Gamini Premaratne and Anil K. Bera
University of Illinois at Urbana-Champaign - Department of EconomicsUniversity of Brunei Darussalam and University of Illinois at Urbana-Champaign - Department of Economics
Downloads 376 (196,458)
Citation 1

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skewness, Leptokurtosis, Pearson type IV, Rao Score, Symmetry Test

4.

Adjusting the Tests for Skewness and Kurtosis for Distributional Misspecifications

UIUC-CBA Research Working Paper No. 01-0116
Number of pages: 29 Posted: 25 May 2002
Anil K. Bera, Gamini Premaratne and Gamini Premaratne
University of Illinois at Urbana-Champaign - Department of Economics and University of Illinois at Urbana-Champaign - Department of EconomicsUniversity of Brunei Darussalam
Downloads 277 (274,231)
Citation 11

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5.

Smooth Test for Density Forecast Evaluation

Number of pages: 32 Posted: 02 Feb 2005
Aurobindo Ghosh and Anil K. Bera
LKCSB, SMU and University of Illinois at Urbana-Champaign - Department of Economics
Downloads 192 (395,523)
Citation 2

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Score test, probability integral transform, model selection, GARCH model, simulation based method, sample size selection

6.

Adjustments of Rao's Score Test for Distributional and Local Parametric Misspecifications

Number of pages: 41 Posted: 27 Nov 2017 Last Revised: 19 Apr 2019
Anil K. Bera, Yannis Bilias, Mann Yoon, Suleyman Taspinar and Osman Dogan
University of Illinois at Urbana-Champaign - Department of Economics, Athens University of Economics and Business, California State University, Los Angeles - Department of Economics & Statistics, CUNY Queens College, Department of Economics and CUNY The Graduate Center - Department of Economics
Downloads 176 (428,796)
Citation 6

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Rao's score test, Lagrange multiplier test, robust LM test, specification testing, locally misspecified model, QMLE, inference

7.

Robust LM Tests for Spatial Dynamic Panel Data Models

Number of pages: 44 Posted: 27 Nov 2017 Last Revised: 10 Mar 2018
Anil K. Bera, Osman Dogan, Suleyman Taspinar and Yufan Leiluo
University of Illinois at Urbana-Champaign - Department of Economics, CUNY The Graduate Center - Department of Economics, CUNY Queens College, Department of Economics and University of Illinois at Urbana-Champaign - Department of Economics
Downloads 140 (524,371)
Citation 1

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Spatial dynamic panel data model, SDPD, LM tests, MLE, Spatial dependence, Robust LM tests

8.

Bayesian Inference in Spatial Stochastic Volatility Models: An Application to House Price Returns in Chicago

Number of pages: 32 Posted: 01 Feb 2018 Last Revised: 22 Nov 2019
Suleyman Taspinar, Osman Dogan, Jiyoung Chae and Anil K. Bera
CUNY Queens College, Department of Economics, CUNY The Graduate Center - Department of Economics, Federal Reserve Banks - Federal Reserve Bank of Richmond and University of Illinois at Urbana-Champaign - Department of Economics
Downloads 136 (537,489)

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Stochastic volatility, Spatial stochastic volatility, SAR model, Spatial dependence, Bayesian inference, MCMC, Bayes factor, Specification testing

9.

Simple Tests for Endogeneity of Spatial Weights Matrices

Number of pages: 26 Posted: 27 Nov 2017 Last Revised: 26 Jan 2018
Anil K. Bera, Osman Dogan and Suleyman Taspinar
University of Illinois at Urbana-Champaign - Department of Economics, CUNY The Graduate Center - Department of Economics and CUNY Queens College, Department of Economics
Downloads 111 (635,507)
Citation 1

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Endogenous spatial weights matrix, SAR model, Rao's score test, LM test, Robust LM test, Inference, Specification testing, Parametric misspecification

10.

Heteroskedasticity Consistent Covariance Matrix Estimators for Spatial Autoregressive Models

Number of pages: 31 Posted: 27 Nov 2017 Last Revised: 12 Oct 2018
Suleyman Taspinar, Osman Dogan and Anil K. Bera
CUNY Queens College, Department of Economics, CUNY The Graduate Center - Department of Economics and University of Illinois at Urbana-Champaign - Department of Economics
Downloads 97 (704,534)

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Spatial Autoregressive Models, SARAR, GMM, Heteroskedasticity, HCCME, Asymptotic Variance, Efficiency, Standard Errors, Inference

11.

Testing Spatial Dependence in Spatial Models with Endogenous Weights Matrices

Number of pages: 44 Posted: 09 May 2018 Last Revised: 05 Aug 2018
Anil K. Bera, Osman Dogan and Suleyman Taspinar
University of Illinois at Urbana-Champaign - Department of Economics, CUNY The Graduate Center - Department of Economics and CUNY Queens College, Department of Economics
Downloads 94 (720,278)
Citation 1

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Endogenous Spatial Weights Matrix, SARAR Model, Rao's Score Test, Lagrange Multiplier Test, LM Test, Robust LM Test, Inference, Specification Testing, Parametric Misspecification

12.

Information Matrix Tests for the Composed Error Frontier Model

University of Illinois, Bureau of Economics & Business Research Working Paper No. 99-0101
Number of pages: 25 Posted: 15 Apr 1999
Anil K. Bera and Naresh C. Mallick
University of Illinois at Urbana-Champaign - Department of Economics and Georgia State University - Department of Economics
Downloads 75 (837,727)
Citation 1

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13.

Specification Tests for Spatial Panel Data Models

Posted: 30 Oct 2018 Last Revised: 13 Jul 2020
Anil K. Bera, Osman Dogan, Suleyman Taspinar and Monalisa Sen
University of Illinois at Urbana-Champaign - Department of Economics, CUNY The Graduate Center - Department of Economics, CUNY Queens College, Department of Economics and University of Illinois at Urbana-Champaign, Department of Economics, Students

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Rao's Score Test, Lagrange Multiplier Test, LM Test, Robust LM Test, Specification Test, Spatial Models, Spatial Panel Data Models

14.

Asymptotic Variance of Test Statistics in ML and QML Frameworks

Posted: 27 Nov 2017 Last Revised: 25 Sep 2020
Anil K. Bera, Osman Dogan and Suleyman Taspinar
University of Illinois at Urbana-Champaign - Department of Economics, CUNY The Graduate Center - Department of Economics and CUNY Queens College, Department of Economics

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Variance, Asymptotic variance, MLE, QMLE, Inference, Test statistics, Skewness statistic, Kurtosis statistic, The Cox's statistic, The information matrix test, the Durbin's h-statistic

15.

Adjusted Rao's Score Test for Non-linear Hypotheses under Distributional and Local Parametric Misspecification

Posted: 27 Nov 2017 Last Revised: 21 Sep 2020
Anil K. Bera, Osman Dogan and Suleyman Taspinar
University of Illinois at Urbana-Champaign - Department of Economics, CUNY The Graduate Center - Department of Economics and CUNY Queens College, Department of Economics

Abstract:

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QMLE, Rao’s Score Test, Lagrange Multiplier Tests, LM Test, Robust LM Test, Inference, Specification Testing, Distributional Misspecification, Parametric Misspecification

16.

A Test for Symmetry with Leptokurtic Financial Data

Journal of Financial Econometrics, Vol. 3, No. 2, pp. 169-187, Spring 2005
Posted: 29 Feb 2008
Gamini Premaratne, Gamini Premaratne and Anil K. Bera
University of Illinois at Urbana-Champaign - Department of EconomicsUniversity of Brunei Darussalam and University of Illinois at Urbana-Champaign - Department of Economics

Abstract:

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b test, kurtosis, Monte Carlo study, Pearson family of distributions, Rao`s score test, skewness, tan(·) function

17.

Estimating Functions and Equations: An Essay on Historical Developments with Applications to Econometrics

Palgrave Handbook of Econometrics, Vol. 1
Posted: 04 Aug 2005
Anil K. Bera, Yannis Bilias and Pradosh Simlai
University of Illinois at Urbana-Champaign - Department of Economics, Athens University of Economics and Business and University of Illinois at Urbana-Champaign - Department of Economics

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Estimating Function, Method of Moments, Nuisance parameters, Dependent data

18.

On Some Heteroskedasticity-Robust Estimators of Variance-Covariance Matrix of the Least Squares Estimators

Commerce & Bus. Admin. Working Paper No. 00-125
Posted: 26 Jun 2001
Anil K. Bera, Totok Suprayitno, Gamini Premaratne and Gamini Premaratne
University of Illinois at Urbana-Champaign - Department of Economics, Pusat Informatika and University of Illinois at Urbana-Champaign - Department of EconomicsUniversity of Brunei Darussalam

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Linear regression model, Unbiasedness, MINQUE

19.

On Some Optimality Properties of Fisher-Rao Score Function in Testing and Estimation

Working Paper No. 00-122
Posted: 18 Jun 2001
Anil K. Bera and Yannis Bilias
University of Illinois at Urbana-Champaign - Department of Economics and Athens University of Economics and Business

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Score function, Rao's score test, Locally most powerful test, Estimating function, Efficiency, Efficient method of moment.

20.

Testing Constancy of Correlation and Other Specifications of the Bgarch Model with an Application to International Equity Returns

UIUC Economics Working Paper No.00-124
Posted: 01 May 2001
Anil K. Bera and Sangwhan Kim
University of Illinois at Urbana-Champaign - Department of Economics and Korea Institute of Finance

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Time-varying correlations, stock returns, score test, information matrix test, studentizing

21.

Hypothesis Testing in the 20th Century with a Special Reference to Testing with Misspecified Models

University of Illinois, Office of Research Working Paper No. 99-0111
Posted: 23 Sep 1999
Anil K. Bera
University of Illinois at Urbana-Champaign - Department of Economics

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22.

Estimation of Time-Varying Hedge Ratios for Corn and Soybeans: Bgarch and Random Coefficient Approaches

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Estimation of Time-Varying Hedge Ratios for Corn and Soybeans: Bgarch and Random Coefficient Approaches

Working Paper #98-0100
Posted: 02 Jun 1998
Anil K. Bera, Philip Garcia and Jae-Sun Roh
University of Illinois at Urbana-Champaign - Department of Economics, University of Illinois at Urbana-Champaign - Department of Agricultural and Consumer Economics and Seoul National University - Department of Agricultural Economics

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Estimation of Time-Varying Hedge Ratios for Corn and Soybeans: Bgarch and Random Coefficient Approaches

Sankhya, Series B, 1998
Posted: 10 Aug 1999
Anil K. Bera, Philip Garcia and Jae-Sun Roh
University of Illinois at Urbana-Champaign - Department of Economics, University of Illinois at Urbana-Champaign - Department of Agricultural and Consumer Economics and Seoul National University - Department of Agricultural Economics

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23.

Tests for the Error Component Model in the Presence of Local Misspecification

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Tests for the Error Component Model in the Presence of Local Misspecification

University of Illinois, Bureau of Economics & Business Research Working Paper 98-0103
Posted: 25 Feb 1998
Anil K. Bera, Walter Sosa-Escudero and Mann Yoon
University of Illinois at Urbana-Champaign - Department of Economics, Universidad Nacional de La Plata (UNLP) - Faculty of Economics and California State University, Los Angeles - Department of Economics & Statistics

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Tests for the Error Component Model in the Presence of Local Misspecification

University of Illinois at Urbana-Champaign, Bureau of Economics & Business Research Working Paper No. 98-0103
Posted: 26 Mar 1999
Anil K. Bera, Walter Sosa-Escudero and Mann Yoon
University of Illinois at Urbana-Champaign - Department of Economics, Universidad Nacional de La Plata (UNLP) - Faculty of Economics and California State University, Los Angeles - Department of Economics & Statistics

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