We suggest a robust form of conditional moment test as a constructive test for functional misspecification in multiplicative error models. The proposed test has power solely against violations of the conditional mean restriction but is not affected by any other type of model misspecification....

This paper proposes a method for comparing and combining conditional quantile forecasts based on the principle of 'encompassing'. Our test for conditional quantile forecast encompassing (CQFE) is a test of superior predictive ability, constructed as a Wald-type test on the coefficients of an...

The development of new tests and methods used in the evaluation of time series forecasts and forecasting models remains as important today as it has for the last 50 years. Paraphrasing what Sir Clive W.J. Granger (arguably the father of modern day time series forecasting) said in the 1990s at a...

This paper studies the robust estimation and inference of threshold models with integrated regressors. We derive the asymptotic distribution of the profiled least squares (LS) estimator under the diminishing threshold effect assumption that the size of the threshold effect converges to zero....

In this paper we study a statistical method of implementing quasi-Bayes estimators for nonlinear and nonseparable GMM models, that is motivated by the ideas proposed in the literature that combines simulation with nonparametric regression in the computation of GMM models. We provide formal...

In this paper, we propose two parametric alternatives to the standard GARCH model. They allow the conditional variance to have a smooth time-varying structure of either additive or multiplicative type. The suggested parameterizations describe both nonlinearity and structural change in the...

This paper develops tests of the null hypothesis of linearity in the context of autoregressive models with Markov-switching means and variances. These tests are robust to the identification failures that plague conventional likelihood-based inference methods. The approach exploits the moments of...

This paper develops tests of the null hypothesis of linearity in the context of autoregressive models with Markov-switching means and variances. These tests are robust to the identification failures that plague conventional likelihood-based inference methods. The approach exploits the moments of...

We propose a new way to conduct multiple hypothesis testing in economics research. Our framework allows for correlation among tests and incomplete data, both of which are prevalent in economic meta-analysis. Our simulations show that that our method is able to produce the correct p-value cutoff...

We show that a straightforward modification of a trading based test for predictability displays interesting advantages over the Excess Profitability (EP) test (proposed by Anatolyev and Gerco) when testing the Martingale Difference Hypothesis. Our statistic is called Straightforward Excess...