A new approach to robust testing in cointegrated systems is proposed using nonparametric HAC estimators without truncation. While such HAC estimates are inconsistent, they still produce asymptotically pivotal tests and, as in conventional regression settings, can improve testing and inference....

This paper proposes unit root tests based on partially adaptive estimation. The proposed tests provide an intermediate class of inference procedures that are more efficient than the traditional OLS-based methods and simpler than unit root tests based on fully adaptive estimation using...

It has been argued that estimating the spectral density function of a stationary stochastic process at the zero frequency (or the so-called long-run variance) is an illposed problem so that any estimate will have an infinite minimax risk (e.g., Pötscher 2002). Most often it is a nuisance...

This paper studies robust inference in unit root and cointegration models. The analysis covers a range of important inference problems including testing stationarity against unit roots, testing for structure change in nonstationary regressions, and testing for cointegration. We analyze these...

In this paper we examine the impact of a large number of factors at the bank level (liquidity and credit risks, asset size, income diversification and market power), at the industry level (banking concentration) and macro-level (real GDP growth) on bank financial distress using an unbalanced...

The paper studies inference in nonlinear models where identification loss presents in multiple parts of the parameter space. For uniform inference, we develop a local limit theory that models mixed identification strength. Building on this non-standard asymptotic approximation, we suggest robust...

One of the leading methods of estimating the structural parameters of DSGE models is the VAR-based impulse response matching estimator. The existing asymptotic theory for this estimator does not cover situations in which the number of impulse response parameters exceeds the number of VAR model...

We develop an asymptotically chi-squared statistic for testing moment conditions E[mt(θ0)]=0, where mt(θ0) may be weakly dependent, scalar components of mt(θ0) may have an infinite variance, and E[mt(θ)] need not exist for any θ under the alternative. Score tests are a natural application,...