supporting evidences for the maintained assumptions of estimation using pooled data. In a Monte Carlo study we find that the test …

regression coefficients as homogeneous or heterogeneous functions of transition variables. In the estimation process, however … estimation time, rendering their application less appealing. This paper proposes a Lagrange multiplier test indicating whether …

In the context of modern portfolio theory, we compare the out-of-sample performance of 8 investment strategies which …-selling constraints. A main drawback of most empirical studies on that topic is the use of simple-testing procedures which do not account … for the effects of multiple testing. For that reason we conduct several hypothesis tests which are proposed in the …

is too restrictive when testing the CAPM. We also propose exact multivariate diagnostic checks (including tests for …

structural breaks in the factor loadings for the specification and estimation of factor models based on principal components and …

Although it is well known that Markov process theory, frequently applied in the literature on income convergence …

developed in the literature. Next, we go beyond testing by defining and estimating the minimal deviations from rational …