We study the problem of testing the error distribution in a multivariate linear regression (MLR) model. The tests are functions of appropriately standardized multivariate least squares residuals whose distribution is invariant to the unknown cross-equation error covariance matrix. Empirical...

Exact inference methods are proposed for asset pricing models with unobservable risk-free rates and coskewness; specifically, the Quadratic Market Model (QMM) which incorporates the effect of asymmetry of return distribution on asset valuation. In this context, exact tests are appealing given...

We test for the presence of time-varying parameters (TVP) in the long-run dynamics of energy prices for oil, natural gas and coal, within a standard class of mean-reverting models. We also propose residual-based diagnostic tests and examine out-of-sample forecasts. In-sample LR tests support the...

In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the framework of...

In the context of multivariate regression (MLR) and simultaneous equations (SE), it is well known that commonly employed asymptotic test criteria are seriously biased towards over-rejection. In this paper, we propose exact likelihood based tests for possibly nonlinear hypotheses on the...

In this paper, we propose finite-sample inference procedures for parametric econometric models whose likelihood function is intractable and require simulation-based estimation methods, like indirect inference (Gourieroux, Monfort and Renault, 1993) or the efficient method of moments (Gallant and...

We propose finite sample tests and confidence sets for models with unobserved and generated regressors as well as various models estimated by instrumental variables method. We study two distinct approaches for various models considered by Pagan (1984). The first one is an instrument substitution...

In this paper, we study the invariance properties of various test criteria which have been proposed for hypothesis testing in the context of incompletely specified models, such as models which are formulated in terms of estimating functions (Godambe, 1960) moment conditions and are estimated by...