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...

This paper illustrates the usefulness of resampling-based methods in the context of multiple (simultaneous) tests, with emphasis on econometric applications. Economic theory often suggests joint (or simultaneous) hypotheses on econometric models; consequently, the problem of evaluating joint...

We revisit financial market integration and study the impact of multiple risk factors and model specification on inference. Our tests exploit a method correct in finite sample that jointly assesses coefficient significance and detects identification problems. Results on four countries show that...

Purpose – The purpose of this paper is to examine financial integration across North American stock markets from January 1984 to December 2003. Design/methodology/approach – The paper uses an arbitrage pricing theory framework. The risk factors considered are the three Fama and French...

This paper examines financial market integration in North-America from January 1984 to December 2003, using two basic CAPM and APT test models. We introduce a methodology valid in finite samples for the CAPM model. A pivotal statistic is introduced to correct for the so-called dimensionality...

In this paper, we use identification-robust methods to assess the empirical adequacy of a New Keynesian Phillips Curve (NKPC) equation. We focus on the Gali and Gertler’s (1999) specification, on both U.S. and Canadian data. Two variants of the model are studied: one based on a...