This article studies inference of multivariate trend model when the volatility process is nonstationary. Within a quite general framework we analyze four classes of tests based on least squares estimation, one of which is robust to both weak serial correlation and nonstationary volatility. The...

We propose a fast resample method for two step nonlinear parametric and semiparametric models, which does not require recomputation of the second stage estimator during each resample iteration. The fast resample method directly exploits the score function representations computed on each...

To study the influence of a bandwidth parameter in inference with conditional moments, we propose a new class of estimators and establish an asymptotic representation of our estimator as a process indexed by a bandwidth, which can vary within a wide range including bandwidths independent of the...

A well-known difficulty in estimating conditional moment restrictions is that the parameters of interest need not be globally identified by the implied unconditional moments. In this paper, we propose an approach to constructing a continuum of unconditional moments that can ensure parameter...

We propose non-nested hypothesis tests for conditional moment restriction models based on the method of generalized empirical likelihood (GEL). By utilizing the implied GEL probabilities from a sequence of unconditional moment restrictions that contains equivalent information of the conditional...

We propose a bootstrap method for statistics that are a function of multivariate high frequency returns such as realized regression, covariance and correlation coefficients. We show that the finite sample performance of the bootstrap is superior to the existing first-order asymptotic theory....

This paper is concerned with the use of the bootstrap for statistics in spatial econometric models, with a focus on the test statistic for Moran’s I test for spatial dependence. We show that, for many statistics in spatial econometric models, the bootstrap can be studied based on...

To test the existence of spatial dependence in an econometric model, a convenient test is the Lagrange Multiplier (LM) test. However, evidence shows that, in finite samples, the LM test referring to asymptotic critical values may suffer from the problems of size distortion and low power, which...