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

We extend Hansen’s (2005) test to testing hypotheses involving general inequality constraints where the variance–covariance matrix of the functions in the constraints depends on the unknown parameters. The test can be applied to a wider class of problems than Wolak’s (1991).

Using GARCH models for density prediction of stock index returns, a comparison is provided between frequentist and Bayesian estimation. No significant difference is found between qualities of whole density forecasts, whereas the Bayesian approach exhibits significantly better left-tail forecast...

Exchange rate arrangements and trade are inherently connected. Exchange rate volatility has a significant impact on trade volumes, and trading partners thus could affect each other’s exchange rate regime choice. This spatial effect among trading partners has been overlooked in empirical...

A trade-off exists between the Gelfand and Dey (1994) and Chib (1995) methods to calculate the marginal likelihood in Bayesian estimation. Using the Markov Chain Monte Carlo method, we demonstrate that the performance of the two methods is fairly close.

This paper proposes a couple of new methods to compute the news impact curve for stochastic volatility (SV) models. The new methods incorporate the joint movement of return and volatility, which has been ignored by the extant literature. The first method employs the Bayesian Markov chain Monte...

In this paper we propose new estimation techniques in connection with regression models whose errors have distributions which are members of the celebrated Pearson’s system. Efficient MCMC procedures are proposed in the context of likelihood—based inference. The new techniques are applied to...

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.

This article tests the linearity assumption underlying the popular heterogeneous autoregressive model for realized volatility (HAR-RV). We implement a consistent model specification test that is robust to both distributional and model misspecification. We find that, using a nonparametric HAR-RV...

This note proposes a class of estimators for estimating the asymptotic covariance matrix of the generalized method of moments (GMM) estimator in the stationary time series models. The proposed estimator is general enough to include the traditional heteroskedasticity and autocorrelation...