This paper proposes Pearson-type statistics based on implied probabilities to detect structural change. The class of generalized empirical likelihood estimators (see Smith, 1997) assigns a set of probabilities to each observation such that moment conditions are satisfied. These restricted...

Empirical Likelihood (EL) and other methods that operate within the Empirical Estimating Equations (E3) approach to estimation and inference are challenged by the Empty Set Problem (ESP). ESP concerns the possibility that a model set, which is data-dependent, may be empty for some data sets. To...

This paper studies the Hodges and Lehmann (1956) optimality of tests in a general setup. The tests are compared by the exponential rates of growth to one of the power functions evaluated at a fixed alternative while keeping the asymptotic sizes bounded by some constant. We present two sets of...

This paper proposes a GMM-based method for asymptotic confidence interval construction in stationary autoregressive models, which is robust to the presence of conditional heteroskedasticity of unknown form. The confidence regions are obtained by inverting the asymptotic acceptance region of the...

Finite sample approximations for the distribution functions of Generalized Empirical Likelihood (GEL) are derived using Edgeworth expansions. The analytical results obtained are shown to apply to most of the common extremum estimators used in applied work in an i.i.d. sampling context. The GEL...

This paper investigates the effects of Federal Reserve's decisions and statements on U.S. stock and volatility indices (Dow Jones Industrial Average, NASDAQ 100, S&P 500, and VIX) using a high-frequency event-study analysis. I find that both the surprise component of policy actions and official...

This paper studies the Hodges and Lehmann (1956) optimality of tests in a general setup. The tests are compared by the exponential rates of growth to one of the power functions evaluated at a fixed alternative while keeping the asymptotic sizes bounded by some constant. We present two sets of...

We re-examine the empirical relevance of the cost channel of monetary policy (e.g. Ravenna and Walsh, 2006), employing recently developed moment-conditions inference methods, including identiÂ…cation-robust procedures. Using US data, our results suggest that the cost channel effect is poorly...

We re-examine the empirical relevance of the cost channel of monetary policy (e.g. Ravenna and Walsh, 2006), employing recently developed moment-conditions inference methods, including identification-robust procedures. Using US data, our results suggest that the cost channel effect is poorly...

This paper examines structural change tests based on generalized empirical likelihood methods in the time series context. Standard structural change tests for GMM with strongly identified parameters are adapted to the GEL context. We show that when moment conditions are properly smoothed, these...