This note proposes a tool to investigate and demonstrate the adequacy of the central limit theorem in small samples. The suggested testing procedure provides a method to investigate if the mean estimator is approximately normally distributed, given data and sample size at hand. This is important...

We introduce a new, factor based bootstrap approach which is robust under heteroskedastic error terms for inference in functional coefficient models. Modeling the functional coefficient parametrically, the bootstrap approximation of an F statistic is shown to hold asymptotically. In simulation...

We use recent advances in multiple testing to identify the countries for which Purchasing Power Parity (PPP) held over the last century. The approach controls the multiplicity problem inherent in simultaneously testing for PPP on several time series, thereby avoiding spurious rejections. It has...

We use the method of indirect inference to test a full open economy model of the UK that has been in forecasting use for three decades. The test establishes, using a Wald statistic, whether the parameters of a time-series representation estimated on the actual data lie within some confidence...

By combining two alternative formulations of a test statistic with two alternative resamplingschemes we obtain four different bootstrap tests. In the context of static linear regression modelstwo of these are shown to have serious size and power problems, whereas the remaining two areadequate...

This paper develops a specification test for the instrument validity conditions in the heterogeneous treatment effect model with a binary treatment and a discrete instrument. A necessary testable implication for the joint restriction of instrument exogeneity and instrument monotonicity is given...

In this paper, we propose a general method for testing inequality restrictions on nonparametric functions. Our framework includes many nonparametric testing problems in a uni ed framework, with a number of possible applications in auction models, game theoretic models, wage inequality, and...

We propose bootstrap implementations of the asymptotic Wald, likelihood ratio and Lagrange multiplier tests for the order of integration of a fractionally integrated time series. Our main purpose in doing so is to develop tests which are robust to both conditional and unconditional...

In the presence of conditional heteroskedasticity, inference about the coefficients in a linear regression model these days is typically based on the ordinary least squares estimator in conjunction with using heteroskedasticity consistent standard errors. Similarly, even when the true form of...

Constructing joint confidence bands for structural impulse response functions based on a VAR model is a difficult task because of the non-linear nature of such functions. We propose new joint confidence bands that cover the entire true structural impulse response function up to a chosen maximum...