We propose a new model for the variance between multiple time series, the Regime Switching Dynamic Correlation. We decompose the covariances into correlations and standard deviations and the correlation matrix follow a regime switching model; it is constant within a regime but different across...

In simultaneous equation (SE) contexts, nuisance parameter, weak instruments and identification problems severely complicate exact and asymptotic tests (except for very specific hypotheses). In this paper, we propose exact likelihood based tests for possibly nonlinear hypotheses on the...

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,...