We discuss statistical inference problems associated with identification and testability in econometrics, and we emphasize the common nature of the two issues. After reviewing the relevant statistical notions, we consider in turn inference in nonparametric models and recent developments on...

In this paper, we consider testing marginal normal distributional assumptions. More precisely, we propose tests based on moment conditions implied by normality. These moment conditions are known as the Stein (1972) equations. They coincide with the first class of moment conditions derived by...

This paper illustrates the usefulness of resampling based methods in the context of multiple (simultaneous) tests, with emphasis on econometric applications. Economic theory often suggests joint (or simultaneous) hypotheses on econometric models; consequently, the problem of evaluating joint...

A wide range of tests for heteroskedasticity have been proposed in the econometric and statistics literatures. Although a few exact homoskedasticity tests are available, the commonly employed procedures are quite generally based on asymptotic approximations which may not provide good size...

This paper provides evidence based on French macroeconomic data, that shocks on the cost of oil inputs are transmitted asymmetrically to the prices of fuel. We use an error correction model to estimate the dynamics of the transmission of the cost of crude oil expressed in French currency, to the...

We propose methods for testing hypothesis of non-causality at various horizons, as defined in Dufour and Renault (1998, Econometrica). We study in detail the case of VAR models and we propose linear methods based on running vector autoregressions at different horizons. While the hypotheses...

This paper proposes a new nonparametric test for conditional independence, which is based on the comparison of Bernstein copula densities using the Hellinger distance. The test is easy to implement because it does not involve a weighting function in the test statistic, and it can be applied in...

We estimate the reaction function of monetary policy in the Euro area and derive the Taylor-type policy rule that a would-be ECB would have followed since the beginning of the European Monetary System (1979-2003). We first follow the standard GMM methodology developed by Clarida, Galí and...