Many statistical applications require the forecast of a random variable of interest over several periods into the future. The sequence of individual forecasts, one period at a time, is called a path forecast, where the term path refers to the sequence of individual future realizations of the...

We propose a general test for exogeneity that is robust against distributional misspecification. The test can also be used to identify other types of misspecifications, such as the presence of a random coefficient. The idea is to sort the data with respect to a variable (a sorting score) and...

This paper investigates the time-series properties of the price of iron ore. The focus is on testing a unit-root null hypothesis against a trend-stationary alternative, with a structural break allowed under both hypotheses. We consider unit-root tests with or without structural breaks, applied...

Microeconometrics researchers have increasingly realized the essential need to account for any within-group dependence in estimating standard errors of regression parameter estimates. The typical preferred solution is to calculate cluster-robust or sandwich standard errors that permit quite...

Most work in the area of nonlinear econometric modelling is based on a single equation and assumes exogeneity of the explanatory variables. Recently, work by Caner and Hansen (2003) and Psaradakis, Sola, and Spagnolo (2004) has considered the possibility of estimating nonlinear models by methods...

This paper presents an invariance principle for highly nonstationary long memory processes, defined as processes with long memory parameter lying in (1, 1.5). This principle provides the tools for showing asymptotic validity of the bootstrap in the context of such processes.

Identification in the context of multivariate state space modelling involves the specification of the dimension of the state vector. One identification approach requires an estimate of the rank of a Hankel matrix. The most frequently used approaches of rank determination rely on information...

This paper introduces a conditional Kolmogorov test, in the spirit of Andrews (1997), that allows for comparison of multiple misspecifed conditional distribution models, for the case of dependent observations. A conditional confidence interval version of the test is also discussed. Model...

This paper considers the problem of testing a finite number of moment inequalities. We propose a two-step approach. In the first step, a confidence region for the moments is constructed. In the second step, this set is used to provide information about which moments are negative. A...

Large scale Bayesian model averaging and variable selection exercises present, despite the great increase in desktop computing power, considerable computational challenges. Due to the large scale it is impossible to evaluate all possible models and estimates of posterior probabilities are...