This paper considers inference in log‐linearized dynamic stochastic general equilibrium (DSGE) models with weakly (including un‐) identified parameters. The framework allows for analysis using only part of the spectrum, say at the business cycle frequencies. First, we characterize weak...

Most studies in the structural change literature focus solely on the conditional mean, while under various circumstances, structural change in the conditional distribution or in conditional quantiles is of key importance. This paper proposes several tests for structural change in regression...

This paper presents estimation methods and asymptotic theory for the analysis of a nonparametrically specified conditional quantile process. Two estimators based on local linear regressions are proposed. The first estimator applies simple inequality constraints while the second uses...