described as robust to weak instruments. We also show that test consistency may still hold even if the overall identification … under both the null hypothesis (level) and the alternative hypothesis (power), with or without identification. We show that … the usual chi-squares critical values are still applicable even when identification is weak. So, all proposed tests can be …

. Consistency and asymptotic normality of a symmetric and of a one-sided kernel estimator of volatility are outlined with remarks on …

returns. We prove consistency and asymptotic normality of a symmetric variance estimator and of a one-sided variance estimator …

-likelihood ratio test of no-cointegration on the estimated p-r common trends that are not cointegrated under the null. The order of …

, which are robust to weak identification and allow for non-Gaussian distributions including parametric GARCH structures. In … the Maximized Monte Carlo test method - are generally preferable to their Wald-HAC counterparts from the viewpoints of …