The author proposes a test for the parametric specification of each component in the diffusion matrix of a d-dimensional diffusion process. Overall, d (d-1)/2 test statis[...]

Supplemental material for peer-reviewed article published in Quantitative Economics. When citing this dataset, please also cite the associated article. A sample Publicati[...]

This paper studies the inference problem of an infinite-dimensional parameter with a shape restriction. This parameter is identified by arbitrarily many unconditional mom[...]

We propose an exact test for breaks in covariance in multivariate regressions. The test is based on the LR criterion from Anderson ([Anderson, T.W. (1971), The Statistica[...]

We introduce quasi-likelihood ratio tests for one sided multivariate hypotheses to evaluate the null that a parsimonious model performs equally well as a small number of [...]

In this note, I extend the optimal asymptotic least squares estimation framework to deal with singularities in the asymptotic covariance of the distance function. Further[...]

The power of the CUSUM test of parameter constancy over time in linear regression models crucially depends on the angle between the mean regressor and the structural chan[...]

This paper presents a new test for evaluating conditional density functions for time-series data, thereby being applicable to forecasting problems. We show that the test [...]

We use identification-robust methods to assess a New Keynesian Phillips Curve (NKPC) equation. We focus on the Gali - Gertler [1999. Inflation dynamics: a structural econ[...]

This paper proposes a class of linear signed rank statistics to test for a random walk with unknown drift in the presence of arbitrary forms of conditional heteroscedasti[...]