This paper proposes Lagrange Multiplier based panel unit root tests allowing for structural breaks through simple extensions of existing group mean and combination tests. The proposed tests are more general than those previously suggested. They consider potential breaks in the intercept, in the...

Many time series in diverse fields have been found to exhibit long memory. This paper analyzes the behavior of some of the most used tests for long memory: the R/S or rescaled R/S, the GPH (Geweke and Porter-Hudak) and the DFA (Detrended Fluctuation Analysis). Some of these tests exhibit size...

Persistent regressors pose a common problem in predictive regressions. Tests of the forward rate unbiased hypothesis (FRUH) constitute a prime example. Standard regression tests that strongly reject FRUH have been questioned on the grounds of potential long-memory in the forward premium....

In this paper, I examine the properties of the class of generalized empirical likelihood estimators of moment-condition models. These nonparametric likelihood estimators satisfy exactly the moment conditions and automatically remove any bias due to a lack of centering. Moreover, the bias of the...

A dynamic Tobit model with Time-varying parameters is proposed for the daily reaction function of the Open Market Desk of the US Federal Reserve. Such a model offers a more realistic depiction of the Desk's behavior than those of past contributions in the literature as it allows for both...

In this paper we deal with the validation of an agent-based model and, in particular, with the technical validation process, that is to say all the set of test and methods used to analyze if the results of a simulation agree with reality. Today, thanks to some important studies, validation...