This paper investigates the finite sample properties of the widely-used Gibbons, Ross, Shanken (1989) (GRS) test in the … presence of both conditional correlation and conditional heteroskedasticity. It finds that the GRS test exhibits serious size … considerably larger than suggested by the GRS test …

as the threshold variable. The asymptotic distribution of the proposed Wald test is non-standard and depends on nuisance … asymptotic theory for this bootstrap. It is demonstrated by a set of Monte Carlo simulations that the Wald test exhibits … considerable power gains over the ADF test that neglects threshold effects. The law of one price hypothesis is investigated among …

and are defined by moment inequalities. In the literature, different test statistics, critical-value methods, and … methods. We provide a recommended test statistic, moment selection critical value, and implementation method.We provide data …

moment inequalities and equalities. In the literature, different test statistics, critical value methods, and implementation … these methods. We provide a recommended test statistic, moment selection critical value method, and implementation method …

identify such situations, we develop a specification test for the presence of a structural break in return volatility. Finally …

identification strength of the parameters. The robust test is uniformly valid and non-conservative …The paper studies inference in nonlinear models where identification loss presents in multiple parts of the parameter … space. For uniform inference, we develop a local limit theory that models mixed identification strength. Building on this …

identification conditions. These conditions entail a simple identification correspondence between regression endogeneity parameters … and usual structural parameters, while the identification of covariance endogeneity parameters typically fails as soon as … global identification fails. We develop identification-robust finite-sample tests for joint hypotheses involving structural …

-likelihood ratio test of no-cointegration on the estimated p-r common trends that are not cointegrated under the null. The order of …

identification failure when the source of this identification failure is known. We examine models that may have a general deficient … rank Jacobian in certain parts of the parameter space. When identification fails in one of these models, it becomes under …-identified and the identification status of individual parameters is not generally straightforward to characterize. We provide a …