We rank the efficiency of several likelihood-based parametric and semiparametric estimators of conditional mean and variance parameters in multivariate dynamic models with i.i.d. spherical innovations, and show that Gaussian pseudo maximum likelihood estimators are inefficient except under...

This paper discusses inference in self exciting threshold autoregressive (SETAR) models. Of main interest is inference for the threshold parameter. It is well-known that the asymptotics of the corresponding estimator depend upon whether the SETAR model is continuous or not. In the continuous...

We consider the application of normal theory methods to the estimation and testing of a general type of multivariate regression models with errors--in--variables, in the case where various data sets are merged into a single analysis and the observable variables deviate possibly from normality....

If the population of a given country evolves according to Gibrat'�s Law, its growth rate will be independent of its initial size. This short paper further investigates this empirical regularity by the application of a suitable panel unit root test and non-parametric methods. The evidence...

The Anderson-Darling goodness-of-fit test has a highly skewed and non-standard limit distribution. Various attempts have been made to tabulate the associated critical points, using both theoretical approximations and simulation methods. We show that a standard saddlepoint approximation performs...

This paper derives asymptotic power functions for Cramer-von Mises (CvM) style tests for conditional moment inequality models in the set identified case. Combined with power results for Kolmogorov-Smirnov (KS) tests, these results can be used to choose the optimal test statistic, weighting...

I propose a new theoretical framework to assess the approximate validity of overidentifying moment restrictions. Their approximate validity is evaluated by the divergence between the true probability measure and the closest measure that imposes the moment restrictions of interest. The divergence...

The aim of this paper is to draw attention on the need to strengthen institutional cooperation between local self-governments and the business community. The paper analyses the ability of socio-economic councils in Serbia, as a part of local governments, to improve the business environment and...

This paper proposes a test for missing at random (MAR). The MAR assumption is shown to be testable given instrumental variables which are independent of response given potential outcomes. A nonparametric testing procedure based on integrated squared distance is proposed. The statistic’s...

We study the influence of a bandwidth parameter in inference with conditional estimating equations. In that aim, we propose a new class of smooth minimum distance estimators and we develop a theory that focuses on uniformity in bandwidth. We establish a vn-asymptotic representation of our...