The paper provides a new class of over-identification tests that are robust to heteroscedasticity and autocorrelation of unknown forms. The tests are based on the series long run variance estimator that is designed to pivotalize the moment restrictions. We show that when the number of terms used...

The paper develops a novel testing procedure for hypotheses on deterministic trends in a multivariate trend stationary model. The trends are estimated by the OLS estimator and the long run variance (LRV) matrix is estimated by a series type estimator with carefully selected basis functions....

Contrary to accepted belief, the standard Tobit maximum likelihood estimator produces inconsistent parameter estimates, when the constant censoring threshold c is non-zero and unknown. Unfortunately the recording of a zero rather than the actual censoring threshold value is typical of economic...

New asymptotic approximations are established for the Wald and t statistics in the presence of unknown but strong autocorrelation. The asymptotic theory extends the usual fixed-smoothing asymptotics under weak dependence to allow for near-unit-root and weak-unit-root processes. As the locality...