We rank the efficiency of several likelihood-based parametric and semiparametric estimators of conditional mean and variance parameters in multivariate dynamic models with i.i.d. spherical innovations, and show that Gaussian pseudo maximum likelihood estimators are inefficient except under...

This paper discusses inference in self exciting threshold autoregressive (SETAR) models. Of main interest is inference for the threshold parameter. It is well-known that the asymptotics of the corresponding estimator depend upon whether the SETAR model is continuous or not. In the continuous...

We consider the application of normal theory methods to the estimation and testing of a general type of multivariate regression models with errors--in--variables, in the case where various data sets are merged into a single analysis and the observable variables deviate possibly from normality....

This paper develops asymptotic distribution theory for generalized method of moments (GMM) estimators and test statistics when some of the parameters are well identified, but others are poorly identified because of weak instruments. The asymptotic theory entails applying empirical process theory...

If the population of a given country evolves according to Gibrat'�s Law, its growth rate will be independent of its initial size. This short paper further investigates this empirical regularity by the application of a suitable panel unit root test and non-parametric methods. The evidence...

The Anderson-Darling goodness-of-fit test has a highly skewed and non-standard limit distribution. Various attempts have been made to tabulate the associated critical points, using both theoretical approximations and simulation methods. We show that a standard saddlepoint approximation performs...

This study examines return predictability of major foreign exchange rates by testing for martingale difference hypothesis (MDH) using daily and weekly nominal exchange rates from 1975 to 2009. We use three alternative tests for the MDH, which include the wild bootstrap automatic variance ratio...

In this paper, we study the size distortions of the KPSS test for stationarity when serial correlation is present and samples are small and medium-sized. It is argued that two distinct sources of the size distortions can be identified. The first source is the finite-sample distribution of the...

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This paper derives asymptotic power functions for Cramer-von Mises (CvM) style tests for conditional moment inequality models in the set identified case. Combined with power results for Kolmogorov-Smirnov (KS) tests, these results can be used to choose the optimal test statistic, weighting...