The authors structurally estimate and evaluate, for the U.S., the E.U., and Canada, various classes of recently-proposed Calvo-type models, using identification-robust methods. The models differ in their assumptions regarding price indexation (when firms cannot re-optimize their pices), in the...

The problem of constructing confidence set estimates for parameter ratios arises in a variety of econometrics contexts; these include value-of-time estimation in transportation research and inference on elasticities given several model specifications. Even when the model under consideration is...

In this paper we use optimal-instrument and new finite-sample methods to test the empirical relevance of the New Keynesian Phillips curve (NKPC) equation. Unlike generalized method of moments-based methods, these generalized Anderson-Rubin tests are immune to the presence of weak instruments,...

In the context of multivariate regression (MLR) and simultaneous equations (SE), it is well known that commonly employed asymptotic test criteria are seriously biased towards overrejection. In this paper, we propose finite and large sample likelihood based test procedures for possibly nonlinear...

Empirical studies looking for changes over time in exchange rate pass-through to consumer prices generally consider the context of a changing inflation mean to examine this issue. This paper allows for endogeneity in exchange rate movements and proposes a new method to test this hypothesis for...

In this paper, we propose to use the Monte-Carlo (MC) test technique to obtain valid p-values when investigating the presence of discontinuities in jump-diffusion models. Indeed, the LR statistic used to test for discontinuities has typically a complex non-standard distribution, for at least two...

This paper examines financial market integration in North-America from January 1984 to December 2003, using two basic CAPM and APT test models. We introduce a methodology valid in finite samples for the CAPM model. A pivotal statistic is introduced to correct for the so-called dimensionality...