We investigate the pairwise correlations of eleven U.S. fixed income yield spreads over a sample that includes the Great Financial Crisis of 2007–09. Using cross-sectional methods and nonparametric bootstrap breakpoint tests, we characterize the crisis as a period in which pairwise...

In this paper we provide considerable Monte Carlo evidence on the finite sample performance of several alternative forms of White's [1982] IM test. Using linear regression and probit models, we extend the range of previous analysis in a manner that reveals new patterns in the behavior of the...

This paper addresses much needed asymptotic and nonparametric bootstrap methodology for two-sample tests for means on Riemannian manifolds with a simply transitive group of isometries. In particular, we develop a two-sample procedure for testing the equality of the generalized Frobenius means of...

Motivated by the problem of nonparametric inference in high level digital image analysis, we introduce a general extrinsic approach for data analysis on Hilbert manifolds with a focus on means of probability distributions on such sample spaces. To perform inference on these means, we appeal to...

This paper illustrates two techniques for calculating the statistical significance of the marginal effects derived from Heckman’s sample selection model,an increasingly common econometric specification in political science. The discussion draws on an analysis by Sweeney (2003) of the incidence...

This paper proposes the use of the bootstrap when the system Wald test is employed to test for linear restrictions in a stationary vector autoregressive (VAR) model. The bootstrap test is conducted using the estimated generalised least square estimator for VAR parameters, which considers...

Estimation of bivariate fractionally cointegrated models usually operates in two steps: the first step is to estimate the long run coefficient (\beta) whereas the second step estimates the long memory parameter (d) of the cointegrating residuals. We suggest an adaptation of the maximum...

This paper reports on an extensive Monte Carlo study of seven residual-based tests of the hypothesis of no cointegration. Critical values and the power of the tests under the alternative of fractional cointegration are simulated and compared. It turns out that the Phillips-Perron t-test when...

This paper assesses the ability of the Rotterdam model and of three versions of the almost ideal demand system (AIDS) to recover the time-varying elasticities of a true demand system and to satisfy theoretical regularity. Using Monte Carlo simulations, we find that the Rotterdam model performs...

We use Monte Carlo simulations to assess the ability of the Rotterdam model and the three versions of the almost ideal demand system (AIDS) to recover the time-varying elasticities of a true demand system and to satisfy theoretical regularity. We find that the Rotterdam model performs better at...