The use of recursive demeaning and detrending procedures in unit root tests has been popular in the literature, since they lead to more precise estimation of the persistence parameter and greater power in unit root tests. However, we find that unit root tests using these recursive procedures...

This paper studies the problem of specification testing in partially identified models defined by moment (in)equalities. This problem has not been directly addressed in the literature, although several papers have suggested a test based on checking whether confidence sets for the parameters of...

La presencia de cambios estructurales en las series económicas puede conducir a conclusiones equivocadas en cuanto a su estacionariedad, hecho que aconseja el desarrollo de contrastes ampliados para contemplar la presencia de rupturas. En el caso de los tests de raíces unitarias (tipo ADF)...

This paper tests the hypothesis of long-run purchasing power parity (PPP) for all Latin American countries. Those countries share characteristics as high inflation, nominal shocks, and trade openness which might have led to quicker adjustment in relative prices and contributed for PPP to hold....

Applications of panel unit root tests have become commonplace in empirical economics, yet there are ambiguities as how best to interpret the test results. This note clarifies that rejection of the panel unit root hypothesis should be interpreted as evidence that a statistically significant...

Covering the first commitment period of the Kyoto Protocol (2008–2012), we perform a price discovery analysis to determine Granger causality relationships for a range of prominent green equity indices with the broader equity and commodity markets. Three pivotal contributions are made. Firstly,...

We propose inverse probability weighted estimators for the distribution functions of the potential outcomes under the unconfoundedness assumption and apply the inverse mapping to obtain the quantile functions. We show that these estimators converge weakly to zero mean Gaussian processes. A...

Here we present a selected survey in which we attempt to break down the ever burgeoning literature on inference in the presence of weak instruments into issues of estimation, hypothesis testing and confidence interval construction. Within this literature a variety of different approaches have...

We extend Hansen’s (2005) test to testing hypotheses involving general inequality constraints where the variance–covariance matrix of the functions in the constraints depends on the unknown parameters. The test can be applied to a wider class of problems than Wolak’s (1991).

Los modelos de diferencias en diferencias (DD) son posiblemente la especificación econométrica más utilizada para analizar el efecto o impacto de un cambio sobre un sistema. La mayoría de sus aplicaciones se basan en datos de unidades o sujetos, por lo que puede considerarse a la...