This paper proposes finite-sample procedures for testing the SURE specification in multi-equation regression models, i.e. whether the disturbances in different equations are contemporaneously uncorrelated or not. We apply the technique of Monte Carlo (MC) tests [Dwass (1957), Barnard (1963)] to...

In this paper, we propose several finite-sample specification tests for multivariate linear regressions (MLR) with applications to asset pricing models. We focus on departures from the assumption of i.i.d. errors assumption, at univariate and multivariate levels, with Gaussian and non-Gaussian...

In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the framework of...

In this paper, we propose exact inference procedures for asset pricing models that can be formulated in the framework of a multivariate linear regression (CAPM), allowing for stable error distributions. The normality assumption on the distribution of stock returns is usually rejected in...

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...

When some explanatory variables in a regression are correlated with the disturbance term, instrumental variable methods are typically employed to make reliable inferences. Furthermore, to avoid difficulties associated with weak instruments, identification robust methods are often proposed....

We provide a generalization of the Anderson-Rubin (AR) procedure for inference on parameters which represent the dependence between possibly endogenous explanatory variables and disturbances in a linear structural equation (endogeneity parameters). We focus on second-order dependence and stress...

In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the framework of...

We provide a generalization of the Anderson-Rubin (AR) procedure for inference on parameters which represent the dependence between possibly endogenous explanatory variables and disturbances in a linear structural equation (endogeneity parameters). We focus on second-order dependence and stress...

We provide a generalization of the Anderson-Rubin (AR) procedure for inference on parameters which represent the dependence between possibly endogenous explanatory variables and disturbances in a linear structural equation (endogeneity parameters). We focus on second-order dependence and stress...