In this note, we provide the application of HCCME-type refinements to nonlinear GMM models with Bayesian interpretations.

There have been numerous applications of partial observability bivariate probit models. These models identify determinants of individual discrete outcomes when all that is observed are collective outcomes and individual characteristics. Numerical difficulties with their likelihood functions are...

The expected value of the log of a Bayesian’s posterior assessment of the true state of nature, computed under the probability law of the true state, is always at least as large as the log of the prior.

In this paper we propose a new methodology in improving the Diffusion Index forecasting model (Stock and Watson, 2002a, 2002b) using hard thresholding with robust KVB statistic for regression hypothesis tests (Kiefer et al., 2000). The new method yields promising results in the context of long...

We propose an empirical likelihood-based method of inference for comparing inequality between two populations. A series of Monte Carlo experiments are used to assess our method’s finite sample performance. We illustrate our approach using some Canadian household income data.

Since the advent of heteroskedasticity-robust standard errors, several papers have proposed adjustments to the original White formulation. We replicate earlier findings that each of these adjusted estimators performs quite poorly in finite samples. We propose a class of alternative...

A simple example is provided that shows that one test can strictly dominate another test in both local power and its robustness to asymptotic size distortion under local model misspecification, with both tests having asymptotic size equal to nominal size under correct model specification....

We propose a multivariate test for forecast rationality under asymmetric loss functions and test jointly the rationality of inflation–output forecasts of the MMS survey for the US. Our results indicate that even though the rationality of the forecasts individually may be rejected under two...

In this paper, several tests are suggested for the existence of individual and time effects in panel data models with interactive effects. Their asymptotic properties are obtained under some mild conditions. Monte Carlo simulation is carried out for illustration.

In the linear instrumental variables model, we characterize fixed alternatives against which the test of overidentifying restrictions (OR) is inconsistent. When there is the notion of a “true parameter”, we relate this inconsistency result to the literature on optimality properties of...