In this paper, we propose to use the Monte-Carlo (MC) test technique to obtain valid p-values when testing for the presence of discontinuities in jump-diffusion models. Indeed, the LR statistic used to test for discontinuities has typically a complex non-standard distribution, for at least two...

In the context of multivariate regression (MLR) and simultaneous equations (SE), it is well known that commonly employed asymptotic test criteria are seriously biased towards over-rejection. In this paper, we propose exact likelihood based tests for possibly nonlinear hypotheses on the...