The conventional Sargan (1958)/Hansen (1982) test of overidentifying restrictions and the Tilting Parameter test of Imbens, Spady and Johnson (1998) are compared in the context of the AR(1) dynamic panel data model using Monte Carlo experiments. Interestingly, the size properties of the former...

We investigate the causes of civil war, using a new data set of wars during 1960-99. We test a greed theory focusing on the ability to finance rebellion, against a grievance theory focusing on ethnic and religious divisions, political repression and inequality. We find that greed considerably...

We consider dynamic discrete choice models with heterogeneity in both the levels parameter and the state dependence parameter. We first analyse the purchase of full fat milk using a long consumer panel (T 100) on many households. The large T nature of the panel allows us to consistently...

The distribution dynamics of incomes across Indian states are examined using the entire income distribution rather than using standard regression approaches. The period 1965 to 1997 exhibits twin-peaked dynamics: there are two income convergence clubs at 50% and 125% of the national average...

It is known that unit root test statistics may not have the usual asymptotic properties when the variance of innovations is unstable.  In particular, persistent changes in volatility can cause the size of unit root tests to differ from the nominal level.  In this paper we propose a class of...

This paper introduces a class of cointegration tests based on estimated low-pass and high-pass regression coefficients from the same wavelet transform of the original time series data.  The procedure can be applied to test the null of cointegration in a n + k multivariate system with n...

Time invariance of factor loadings is a standard assumption in the analysis of large factor models.  Yet, this assumption may be restrictive unless parameter shifts are mild (i.e., local to zero).  In this paper we develop a new testing procedure to detect big breaks in these loadings at...

This paper examines a test for the null of cointegration in a multivariate system based on the discrepancy between the OLS estimator of the full set of n cointegrating relationships in the n + k system and the OLS estimator of the corresponding relationships among first differences without...

The literature has shown that network architecture depends crucially on whether links are formed unilaterally or bilaterally, that is, on whether the consent of both nodes is required for a link to be formed.  We propose a test of whether network data is best seen as an actual link or...