received much attention in the econometrics literature. We study test performance in the context of specification testing for … all subsidiary null hypotheses outperform the well-known minimum P-value test and a recently proposed test that relies on … the non-parametric estimation of the joint density of all subsidiary test statistics. …

This paper extends the cross sectionally augmented panel unit root test proposed by Pesaran (2007) to the case of a … time series in addition to the variable under consideration. Importantly, our test procedure only requires specification of … test are investigated by Monte Carlo experiments, which suggest that it controls well for size in almost all cases …

This paper proposes a novel test of zero pricing errors for the linear factor pricing model when the number of … securities, N, can be large relative to the time dimension, T, of the return series. The test is based on Student t tests of … proposed test performs remarkably well even when T = 60 and N = 5;000. The test is applied to monthly returns on securities in …

This paper extends the cross sectionally augmented panel unit root test proposed by Pesaran (2007) to the case of a … time series in addition to the variable under consideration. Importantly, our test procedure only requires specification of … test are investigated by Monte Carlo experiments, which suggest that it controls well for size in almost all cases …

test has more power relative to both a bootstrap approach based on the KLIC and an approach which involves multiple testing … for differences of individual parts of the density. In addition, the test is computationally much faster than the KLIC … ECB Survey of Professional Forecasters and the U.S. Survey of Consumer Expectations, we show the usefulness of the test in …