Despite much recent work on the finite-sample properties of estimators and tests for linear regression models with a single endogenous regressor and weak instruments, little attention has been paid to tests for overidentifying restrictions in these circumstances. We study asymptotic tests for...

Suppose that (X,A) is a measurable space and Y is a metrizable, Souslin space. Let Au denote the universal completion of A. Given f : X x Y !R and x 2 X, let f (x,xc) be the lower semicontinuous hull of f (x,xc). If f is (Au B(Y),B(R))-measurable, then f is (Au B(Y),B(R))-measurable.

Inference using large datasets is not nearly as straightforward as conventional econometric theory suggests when the disturbances are clustered, even with very small intra-cluster correlations. The information contained in such a dataset grows much more slowly with the sample size than it would...

This paper is concerned with statistical inference and model evaluation in possibly misspecified and unidentified linear asset-pricing models estimated by maximum likelihood and one-step generalized method of moments. Strikingly, when spurious factors (that is, factors that are uncorrelated with...

Forecast accuracy is typically measured in terms of a given loss function. However, as a consequence of the use of misspecified models in multiple model comparisons, relative forecast rankings are loss function dependent. This paper addresses this issue by using a novel criterion for forecast...

Reliable inference with clustered data has received a great deal of attention in recent years. The overwhelming majority of this research assumes that the cluster structure is known. This assumption is very strong, because there are often several possible ways in which a dataset could be...

We study large-sample properties of likelihood ratio tests of the unit root hypothesis in an autoregressive model of arbitrary, finite order. Earlier research on this testing problem has developed likelihood ratio tests in the autoregressive model of order one, but resorted to a plug-in approach...

This paper proposes a statistical test for the decoupling of the comovements in the real activity of developed and emerging economies. Although globalization has shaped the world economy in recent decades, emerging economies such as China have experienced impressive growth compared to developed...

This paper extends the statistical inference approach developed in Beach (2016) to look at income changes over different regions of an income distribution. Specifically, it looks at relative-mean earnings (RME) ratios and mean earnings levels for lower earners, middle-class (MC) workers and...

This paper looks at changes in employment and relative wages of near higher earnings (NHE) workers between middle-class (MC) and higher earners (HE) in Canada over 2000-2015. An approach is also forwarded for evaluating these changes in terms of underlying demand and supply factors. It is found...