This paper derives sufficient conditions for global identification in nonlinear models characterized by a finite number of unconditional moment restrictions. The main contribution of this paper is to provide a set of assumptions that are alternative to those of Gale-Nikaidô-Fisher-Rothenberg,...

We derive the semiparametric efficiency bound in dynamic models of conditional quantiles under a sole strong mixing assumption. We also provide an expression of Stein’s (1956) least favorable parametric submodel. Our approach is as follows: First, we construct a fully parametric submodel of...

The distribution of statistics testing restrictions on the coefficients in time series regressions can depend on the order of integration of the regressors. In practice, the order of integration is rarely known. We examine two conventional approaches to this problem — simply to ignore unit...

A number of tests have been suggested for the test of the null of no cointegration. Under this null, correlations are spurious in the sense of Granger and Newbold (1974) and Phillips (1986). We examine a set of models local to the null of no cointegration and derive tests with optimality...

This paper examines regression tests of whether x forecasts y when the largest autoregressive root of the regressor is unknown. It is shown that previously proposed two-step procedures, with first stages that consistently classify x as I(1) or I(0), exhibit large size distortions when regressors...