Sovereign wealth funds have rapidly become significant international institutions. The performance of funds varies substantially across countries, but comprehensive and systematic analyses of funds have been hampered by the lack of transparency of most funds. The relative transparency of the...

This paper develops an asymptotic theory of inference for an unrestricted two-regime threshold autoregressive (TAR) model with an autoregressive unit root. We find that the asymptotic null distribution of Wald tests for a threshold are nonstandard and different from the stationary case, and...

This article proposes a locally best invariant test of the null hypothesis of seasonal stationarity against the alternative of seasonal unit roots at all or individual seasonal frequencies. An asymptotic distribution theory is derived and the finite-sample properties of the test are examined in...

[eng] Performance and Transparency of the Norwegian Sovereign Wealth Fund . The Norwegian sovereign wealth fund (SWF) is widely acknowledged ta be one of the most transparent funds of its type. It has performed like a balanced mutual fund whose investments have been no more disruptive to...

There is a growing consensus that it is difficult to pick instruments that perfectly satisfy the exclusion restriction. Drawing on results from Berkowitz, Caner, and Fang (2012, Journal of Econometrics 166: 255–266), we provide in this article a nontechnical summary of how valid inferences can...

This article analyses exponential tilting estimator with weak instruments in a nonlinear framework. Our paper differs from the previous literature in the context of consistency proof. Tests that are robust to the identification problem are also analysed. These are Anderson-Rubin and Kleibergen...

We analyze the post-float real exchange rates for a group of OECD countries using the newly developed threshold test and tests for unit roots against stationary but nonlinear alternative by Caner and Hansen ( 2001). These tools help us disentangle the nonlinearity from the nonstationarity...