We provide a methodology for testing a polynomial model hypothesis by extending the approach and results of Baek, Cho, and Phillips (2015; Journal of Econometrics; BCP) that tests for neglected nonlinearity using power transforms of regressors against arbitrary nonlinearity. We examine and...

In the paper, we consider generalized method of moments (GMM) and propose statistics to test relevance, conditional relevance and redundancy of moment conditions, as well as they modifications to check if moment conditions help with identification of a particular set of unknown parameters. The...

I propose a test of symmetry for a stationary time series based on the difference between the dispersion above the central tendency of the series with that below it. The test has many attractive features: it is applicable to dependent processes, it has a familiar form, it can be implemented...

Applied researchers often test for the difference of the Sharpe ratios of two investment strategies. A very popular tool to this end is the test of Jobson and Korkie (1981), which has been corrected by Memmel (2003). Unfortunately, this test is not valid when returns have tails heavier than the...

Applied researchers often use tests based on contingency tables in preliminary data analysis and diagnostic testing. We show that many of such tests may be alternatively implemented by testing for coefficient restrictions in linear regression systems (as a rule, employing the Wald test). This...

We consider the problem of hypothesis testing in a modified version of the stochastic integration and cointegration framework of Harris, McCabe and Leybourne (2002). This nonlinear setup allows for volatility in excess of that catered for by the standard integration/cointegration paradigm...

In this short note we discuss several graphical and formal methods of testing noramlity. Among the graphical methods we discuss the P-P and Q-Q plots and among the formal methods we discuss tests based on measures of skewness and kurtosis, Lilliefors test, Shapiro-Wilk and Shapiro-Francia tests

This paper illustrates two techniques for calculating the statistical significance of the marginal effects derived from Heckman's sample selection model,an increasingly common econometric specification in political science. The discussion draws on an analysis by Sweeney (2003) of the incidence...

This paper considers tests in an instrumental variables (IVs) regression model with IVs that may be weak. Tests that have near-optimal asymptotic power properties with Gaussian errors for weak and strong IVs have been determined in Andrews, Moreira, and Stock (2006a). In this paper, we seek...

Asymptotic and bootstrap tests are studied for testing whether there is a relation of stochastic dominance between two distributions. These tests have a null hypothesis of nondominance, with the advantage that, if this null is rejected, then all that is left is dominance. This also leads us to...