This paper proposes a new family of <italic>M</italic> tests building on the work of Kuan and Lee (2006) and Kiefer et al. (2000). The idea is to replace the asymptotic covariance matrix in conventional <italic>M</italic> tests with an alternative normalization matrix, constructed using moment functions estimated from (<italic>K</italic> + 1)...

This paper considers inference in log‐linearized dynamic stochastic general equilibrium (DSGE) models with weakly (including un‐) identified parameters. The framework allows for analysis using only part of the spectrum, say at the business cycle frequencies. First, we characterize weak...

Most studies in the structural change literature focus solely on the conditional mean, while under various circumstances, structural change in the conditional distribution or in conditional quantiles is of key importance. This paper proposes several tests for structural change in regression...

This paper considers issues related to estimation, inference, and computation with multiple structural changes that occur at unknown dates in a system of equations. Changes can occur in the regression coefficients and/or the covariance matrix of the errors. We also allow arbitrary restrictions...

[This item is a preserved copy. To view the original, visit http://econtheory.org/] The de Finetti Theorem is a cornerstone of the Bayesian approach. Bernardo (1996) writes that its "message is very clear: if a sequence of observations is judged to be exchangeable, then any subset of them must...

This paper presents a search model of centralized and decentralized trade. In a centralized market, trades are intermediated by market makers at publicly posted bid–ask prices. In a decentralized market, traders search counterparties. Prices are negotiated and transactions are conducted in...

State-dependent pricing (SDP) models treat the timing of price changes as a profit-maximizing choice, symmetrically with other decisions of firms. Using quantitative general equilibrium models that incorporate a “generalized (S,s) approach,” we investigate the implications of SDP for topics...