Using a novel dataset for the US states, this paper examines whether household debt and the protracted debt deleveraging help explain the dismal performance of US consump[...]

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 [...]

We propose new methods for evaluating predictive densities. The methods include Kolmogorov-Smirnov and Cramér-von Mises-type tests for the correct specification of predic[...]

We propose a new methodology to identify the sources of models' forecasting performance. The methodology decomposes the models' forecasting performance into asymptoticall[...]

The Lucas Paradox observes that capital flows predominantly to relatively rich countries, contradicting the neoclassical prediction that it should flow to poorer capital-[...]

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[...]

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[...]

In a recent paper, Chang et al. [2002. Learning-by-doing as a propagation mechanism. American Economic Review 92 (5) 1498-1520] extend the standard real business cycle (R[...]

Increased sovereign credit risk is often associated with sharp currency movements. Therefore, expectations of the probability of a sovereign default event can convey impo[...]