This paper shows how the dynamic linear model with fixed regressors can be efficiently estimated. This dynamic model can be used to distinguish spurious correlation from state dependence and we show that the integrated likelihood estimator is adaptive for any asymptotics with T increasing where...

This paper suggests Monte Carlo multiple test procedures which are provably valid in finite samples. These include combination methods originally proposed for independent statistics and further improvements which formalize statistical practice. We also adapt the Monte Carlo test method to...