that the predominant tests currently used in econometrics do not appear to enjoy all these properties simultaneously. We … models. In this paper we set forth four key properties which tests of multiple inequality constraints should ideally satisfy … tests. A full asymptotic theory is provided for the baseline. Simulation results show that the finite-sample performance of …

specification of a model. Using the best available tests, one can reduce the probability of estimating econometric models that are … misspecified. This paper investigates the small sample performance of four well-known cointegration tests when a system has been …, Johansen's (1991) trace and the Boswijk (1989) Wald tests are examined. The Johansen trace test adjusted by the finite sample …

A central assumption for identifying structural shocks in vector autoregressive (VAR) models via heteroskedasticity is … restrictions are available for identifying structural shocks. The importance of performing such tests is illustrated by …

regressions with multiple endogenous regressors to be robust to heteroskedasticity and autocorrelation. Equivalently, we extend …

implications of this model. We also consider models that allow for heteroskedasticity and briefly discuss other extensions. The key …

option prices on autoregressive dynamics under stylized facts of stock returns, i.e., conditional heteroskedasticity …

. Applied to German stock data, the alternative tests in many cases yield very different p-values. …