This paper proposes Pearson-type statistics based on implies probabilities to detect structural change. The class of generalized empirical likelihood estimators (see Smith (1997)) assigns a set of probabilities to each observation such that moment conditions are satisfied. These restricted...

This paper proposes Pearson-type statistics based on implied probabilities to detect structural change. The class of generalized empirical likelihood estimators (see Smith <xref>1997</xref>, <italic>The Economic Journal</italic>107, 503–519) assigns a set of implied probabilities to each observation such that moment...

A new test is proposed for the null of absence of serial correlation. The test uses a data-driven smoothing parameter. The resulting test statistic has a standard limit distribution under the null. The smoothing parameter is calibrated to achieve rate-optimality against several classes of...

This paper proposes Pearson-type statistics based on implied probabilities to detect structural change. The class of generalized empirical likelihood estimators (see Smith (1997)) assigns a set of implied probabilities to each observation such that moment conditions are satisfied. The proposed...

The response of hours to a technology shock is a controversial issue in macroeconomics. Part of the difficulty lies in that the estimated response is sensitive to the specification of hours in structural vector autoregressions (SVARs). This paper uses a simple two-step approach to consistently...

The recent works of Gali and Gertler (1999) and Gali, Gertler and Lopez-Salido (2001) provide evidence supporting the New Keynesian Phillips curve (NKPC). This model posits the dynamics of inflation as being forward-looking and related to real marginal costs. In this paper, we examine the...

The authors assess the ability of the Hodrick-Prescott filter (HP) and the band-pass filter proposed by Baxter and King (BK) to extract the business-cycle component of macroeconomic time series by using two different definitions of the business-cycle component. First, they define that component...