This paper provides an extensive Monte-Carlo comparison of severalcontemporary cointegration tests. Apart from the familiar Gaussian basedtests of Johansen, we also consider tests based on non-Gaussianquasi-likelihoods. Moreover, we compare the performance of these parametrictests with tests...

In this paper we introduce the STAR-STGARCH model that can characterizenonlinear behaviour both in the conditional mean and the conditionalvariance. A modelling cycle for this family of models, consisting ofspecification, estimation, and evaluation stages is constructed.Misspecification tests...

Diffuse priors lead to pathological posterior behavior when used in Bayesian analyses of Simultaneous Equation Models (SEMs). This results from the local nonidentification of certain parameters in SEMs. When this, a priori known, feature is not captured appropriately, it results in an a...

Estimators of the extreme-value index are based on a set of upper order statistics. We present an adaptivemethod to choose the number of order statistics involved in an optimal way, balancing variance and biascomponents. Recently this has been achieved for the similar but somewhat less involved...

Econometric estimation using simulation techniques, such as the efficient method of moments, may betime consuming. The use of ordinary matrix programming languages such as Gauss, Matlab, Ox or S-plus will very often cause extra delay. For the Efficient Method of Moments implemented to...

We investigate the potential presence of time variation in the coefficients of the ''Fama regression'' for Uncovered InterestRate Parity. We implement coefficient constancy tests, rolling regression techniques, and stochastic coefficient modelsbased on state space modelling. Among six major US...

An abundance of high quality data sets requiring heavy tailed models necessitates reliablemethods of estimating the shape parameter governing the degree of tail heaviness.The Hill estimator is a popular method for doing this but its practical use isencumbered by several difficulties. We show...

In this paper a post-sample prediction test is derived forestimators based on the Efficient Method of Moments. The mainadvantage of this particular test over other stability tests isthat no time-consuming estimation of the structural parameters forthe post-sample is needed. The asymptotic...

This paper suggests a unified framework for testing the adequacy of anestimated GARCH model. Nothing more complicated than standard asymptotictheory is required. Parametric tests of no ARCH in standardized errors,symmetry, and parameter constancy are suggested. Estimating the alternativewhen the...