In this paper, we study the asymptotic behavior of specification tests in conditional moment restriction models under first-order local identification failure with dependent data. More specifically, we obtain conditions under which the conventional specification test for conditional moment...

Провежданата парична политика през 1991 г. преследваше две главни цели: да установи равновесие на паричния пазар, като съкрати изключително високото парично...

The monetary policy in 1991 followed two main objectives. First,it was to equilibrate the money market by reducing the high money supply to the economically founded money demand. The second objective was to avoid the hyperinflation that could result after the liberalization of prices. A broad...

This paper is concerned with statistical inference and model evaluation in possibly misspecified and unidentified linear asset-pricing models estimated by maximum likelihood and one-step generalized method of moments. Strikingly, when spurious factors (that is, factors that are uncorrelated with...

This paper documents and characterizes the time-varying structure of U.S. and international asset co-movements. Although some of the time variation could be genuine, the sampling uncertainty and time series properties of the series can distort significantly the underlying signal dynamics. We...

This paper proposes an entropy-based approach for aggregating information from misspecified asset pricing models. The statistical paradigm is shifted away from parameter estimation of an optimally selected model to stochastic optimization based on a risk function of aggregation across models....

We investigate the factor structure of the term structure of interest rates and argue that characterizing the minimal dimension of the data-generating process is more challenging than currently appreciated. To circumvent these difficulties, we introduce a novel nonparametric bootstrap that is...

The low-frequency movements of many economic variables play a prominent role in policy analysis and decision-making. We develop a robust estimation approach for these slow-moving trend processes, which is guided by a judicious choice of priors and is characterized by sparsity. We present some...