In this note, we argue that tests of overidentifying restrictions give little information on the validity of the moment conditions implied by the underlying economic model, and therefore are mute about the possibility of identifying the parameters of interest.

We present a version of the uncovered interest parity condition nesting in a portfolio balance model of the consumption capital asset pricing variety. This model supports the existence of “excess returns”–returns in excess of those explained by UIP.

This study re-evaluates the monetary approach for the Canada/U.S. exchange rate and shows that its basic structure can be verified although the coefficients are not consistently in line with theory. Our findings also indicate that exchange rate adjustment is subject to regime shifts.

This paper empirically tests for convergence in consumer price indices across 17 major cities in US over the 1918–2008 period. By using the novel OLS estimator introduced by Bao, Y., Dhongde, S., 2009. Testing convergence in income distribution. Oxford Bulletin of Economics and Statistics 71,...

We propose a test for the evaluation of statistical acceptability of a functional constraint which is imposed on parameters in the mixed data sampling regressions. The asymptotic behavior of the test statistic is characterized and a few other extensions are discussed.

This paper proposes a test for path dependence in discrete panel data based on a characterization of stochastic processes that are mixtures of Markov chains. This test is applied to European Community Household Panel data on employment histories. The data allow to reject the null of no path...

We propose an IV panel unit root test robust to nonstationary error volatility. Its finite-sample performance is convincing even for many units and strong cross-correlation. An application to GDP prices illustrates the inferential impact of nonstationary volatility.

Unit specific effects are often used to estimate non-spatial efficiency. We extend such estimators to the case where there is spatial autoregressive dependence and introduce the concept of spillover efficiency. Intuitively, we present an approach to benchmark how successful units are at...

A new spatial decomposition of total factor productivity growth into direct (own) and indirect (spillover) components is set out. We then apply the decomposition in the context of a spatial autoregressive production frontier analysis of 40 European countries over the period 1995–2008.