This paper proposes the use of the bootstrap when the system Wald test is employed to test for linear restrictions in a stationary vector autoregressive (VAR) model. The bootstrap test is conducted using the estimated generalised least square estimator for VAR parameters, which considers...

Estimation of bivariate fractionally cointegrated models usually operates in two steps: the first step is to estimate the long run coefficient (\beta) whereas the second step estimates the long memory parameter (d) of the cointegrating residuals. We suggest an adaptation of the maximum...

This paper reports on an extensive Monte Carlo study of seven residual-based tests of the hypothesis of no cointegration. Critical values and the power of the tests under the alternative of fractional cointegration are simulated and compared. It turns out that the Phillips-Perron t-test when...

This paper assesses the ability of the Rotterdam model and of three versions of the almost ideal demand system (AIDS) to recover the time-varying elasticities of a true demand system and to satisfy theoretical regularity. Using Monte Carlo simulations, we find that the Rotterdam model performs...

We use Monte Carlo simulations to assess the ability of the Rotterdam model and the three versions of the almost ideal demand system (AIDS) to recover the time-varying elasticities of a true demand system and to satisfy theoretical regularity. We find that the Rotterdam model performs better at...

This paper evaluates whether excess returns on holding Deutschmarks against French Francs, Italian Liras and British Pounds have been recently characterized by (temporary) speculative bubbles. We propose a two-step, distribution-free procedure. First, nonzero-median subperiods are significantly...

A caliper mechanism is a common tool used to prevent from inexact matches. The existing literature discusses asymptotic properties of matching with caliper. In this simulation study we investigate properties in small and medium sized samples. We show that caliper causes a significant bias of the...

A review of model selection procedures in hidden Markov models reveals contrasting evidence about the reliability and the precision of the most commonly used methods. In order to evaluate and compare existing proposals, we develop a Monte Carlo experiment which allows a powerful insight on the...

This note investigates long-run exclusion in a cointegrated vector autoregressive (VAR) model from the viewpoint of finite-sample statistical inference. Monte Carlo experiments show that, in various circumstances, a mis-specified partial VAR model, which is justified by the existence of a...

In hedonic pricing models there is often prior knowledge available which has the form of interval constraints on the unknown coefficients. These are stemming for example from considerations of submarkets for the characteristics involved. In this article we briefly discuss some well known...