In this paper we use optimal-instrument and new finite-sample methods to test the empirical relevance of the New Keynesian Phillips curve (NKPC) equation. Unlike generalized method of moments-based methods, these generalized Anderson-Rubin tests are immune to the presence of weak instruments,...

In this paper, I develop a quasi empirical likelihood estimator that has good finite-sample properties when there are many moment conditions. I show that the quasi empirical likelihood estimator, which uses semiparametric efficient estimation, is an approximation to the empirical likelihood...

In this paper we investigate portfolio coskewness using a quadratic market model as return generating process. It is shown that portfolios of small (large) firms have negative (positive) coskewness with market. An asset pricing model including coskewness is tested through the restrictions it...

Recently financial econometricians have shifted their attention from point and interval forecasts to density forecasts mainly to address the issue of the huge loss of information that results from depicting portfolio risk by a measure of dispersion alone. One of the major problems in this area...

this paper introduces ests for conintegration breakdown that may occur over a relatively short time period, such as at the end of the sample. The breakdown may be due to a shift in the cointegrating vector or due to a shift in the errors from beging I(0) to being I(1). Tests are introduced based...

This paper proposes bootstrap versions of the seasonal unit root tests of, inter alia, Hylleberg, Engle, Granger and Yoo (1990,Journal of Econometrics 55, 305-328)[HEGY]. We report a simulation study of the properties of both the conventional and bootstrapped seasonal unit root tests when...

Recently financial econometricians have shifted their attention from point and interval forecasts to density forecasts mainly to address the issue of the huge loss of information that results from depicting portfolio risk by a measure of dispersion alone. One of the major problems in this area...

We develop LM-tests of linearity that are consistent against a class of Compound Smooth Transition Autoregressive (CoSTAR) models of the conditional mean. Our method is an extension of the sup-test developed by Bierens (1990) and Bierens and Plobeger (1997), provides maximal power against...

This paper considers an important practical problem in testing time-series data for nonlinearity in mean. Most popular tests reject the null hypothesis of linearity too frequently if the the data are heteroskedastic. Two approaches to redressing this size distortion are considered, both of which...

In this paper, we propose the use of bootstrapping methods to obtain correct critical values for dating breaks. Following the procedure proposed in Banerjee, Lazarova and Urga (1998), we consider the case of estimating a system with two or more marginal processes and a conditional process....