En este documento se proponen nuevos métodos con el objetivo de construir intervalos de confianza para el sesgo del estimador de mínimos cuadrados en dos etapas y para la distorsión del tamaño del test de Wald asociado a los modelos de variables instrumentales. Es importante destacar que...

In my dissertation, I consider hypothesis testing with nuisance parameters identified only under the alternative hypothesis in the time series environment. The first chapter proposes tests for cointegrating rank that have power against the trend-break alternative. The conventional testing...

Surveys of Professional Forecasters produce precise and timely point forecasts for key macroeconomic variables. However, the accompanying density forecasts are not as widely utilized, and there is no consensus about their quality. This is partly because such surveys are often conducted for...

In this dissertation, we analyze whether the noise ratio statistic of Durlauf and Hall (1989), NRT, can be used as a non-nested model selection tool in a similar fashion to the Rivers and Vuong (2002) framework. For this purpose, we first show that, when scaled by the sample size T, NRT is...

The increased importance of fragmentation in world trade has created an interest among trade economists to explain the determinants of trade in intermediate goods. A substantial part of trade in intermediates between the US and OECD countries takes the form of intra-industry (IIT). I have...

This dissertaion is comprised of two essays on econometric evaluation of models of commodity futures prices. The first essay develops a frequency- domain volatility bound approach that can be used to evaluate possibly mis-specified models. The proposed method allows us to detect model failures...

This dissertation consists of three essays, first two of which consider a new estimation method of dynamic panel data models and the last one considers an application of these models. The first essay (Chapter 1) offers empirical likelihood (EL) estimation of dynamic panel data models, which...

GMM provides a computationally convenient estimation method and the resulting estimator can be shown to be consistent and asymptotically normal under the fairly moderate regularity conditions. It is widely known that the information content in the population moment condition has impacts on the...

This dissertation explores the applicability of recently developed simulation-based econometric methods to the analysis of spatial price determination and integration of markets. As such a measure of market integration is developed within the context of well-known point-location competitive...

This dissertation consists of three essays on modeling and parameter estimation for covariance non-stationary processes. The first essay considers the non-linear deformation of time scale for G(lambda)-stationary processes developed by Jiang, Gray and Woodward [2006]. After the appropriate...