Let u ≥ 0 be technical inefficiency, let z be a set of variables that affect u, and let δ be the parameters of this relationship. The model satisfies the scaling property if u(z, δ) can be written as a scaling function h(z, δ) times a random variable u* that does not depend on z. This...

In this article, we consider the robustness to fat tails of four stationarity tests. We also consider their sensitivity to the number of lags used in long-run variance estimation, and the power of the tests. Lo's modified rescaled range (MR/S) test is not very robust. Choi's Lagrange multiplier...

The KPSS unit root test with lags is asymptotically valid and the fixed-b asymptotic distribution predicts its critical values well. A small positive number of lags improves the size of the test, without much loss in power.

We consider questions of efficiency and redundancy in the GMM estimation problem in which we have two sets of moment conditions, where two sets of parameters enter into one set of moment conditions, while only one set of parameters enters into the other. We then apply these results to a...