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...

, which can be zero, stable cointegrating vectors against the alternative hypothesis of more than r₀ cointegrating vectors existing in some subsample. The tests proposed follow Breitung (2002). They are non-parametric in nature and are invariant to linear transformations of the series. A...

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...