To address a key issue in functional time series analysis on testing the randomness of an observed series, we propose an IID test for functional time series by generalizing the Brock-Dechert-Scheinkman (BDS) test, which is commonly used for testing nonlinear independence. Similarly to the BDS...

We propose the double robust Lagrange multiplier (DRLM) statistic for testing hypotheses specified on the minimizer of the population continuous updating objective function. The (bounding) χ2 limiting distribution of the DRLM statistic is robust to both misspecification and weak identification,...

This paper focuses on the estimation and testing of multiple breaks that occur at unknown dates in multivariate long memory time series regression models, allowing for fractional cointegration. A likelihood-ratio based approach for estimating the breaks in the parameters and in the covariance of...

Textbook theory predicts that t-ratios decline towards zero in regressions when there is increasing collinearity between two independent variables. This article shows that this rarely happens if the two variables are endogenous, and coefficients increase greatly with more collinearity. The...

Because finite sample inference for inequality indices based on asymptotic methods or the standard bootstrap does not perform well, Davidson and Flachaire (Journal of Econometrics, 2007) and Cowell and Flachaire (Journal of Econometrics, 2007) proposed inference based on semiparametric methods...

This paper studies linear time‐series regressions with many regressors. Weak exogeneity is the most used identifying assumption in time series. Weak exogeneity requires the structural error to have zero conditional expectation given present and past regressor values, allowing errors to...

Spatial unit roots can lead to spurious regression results. We present a brief overview of the methods developed in Müller and Watson (2024) to test for and correct for spatial unit roots. We also introduce a suite of Stata commands (-spur-) implementing these techniques. Our commands exactly...

We propose a flexible, extensible family of distributions for testing Markov Chain Monte Carlo implementations. Distributions are created by nesting simple transformations, which allow various shapes, including multiple modes and fat tails. The resulting distributions can be sampled with high...

How efficiently do scientific results make their way into the wider world? Applying multiple methods to the universe of hypothesis tests reported in three leading health journals between 2016 and 2022 we evidence the important role of statistical significance as a driver of popular attention to...

How efficiently do scientific results make their way into the wider world? Applying multiple methods to the universe of hypothesis tests reported in three leading health journals between 2016 and 2022 we evidence the important role of statistical significance as a driver of popular attention to...

This report is part of the 2-year exploratory research project MITICA (MonItoring Transport Infrastructures with Connected and Automated vehicles). It presents the experimental loading testing undertaken on the Reinforced Concrete (RC) platform that represents the full-scale bridge-like...

We present a statistical test for the long-term calibration in rating systems that can deal with overlapping time windows as required by the guidelines of the European Banking Authority (EBA), which apply to major financial institutions in the European System. In accordance with regulation,...

All parameters in structural vector autoregressive (SVAR) models are locally identified when the structural shocks are independent and follow non-Gaussian distributions. Unfortunately, standard inference methods that exploit such features of the data for identification fail to yield correct...

Evaluating policy in imperfectly competitive markets requires understanding firm behavior. While researchers test conduct via model selection and assessment, we present the advantages of Rivers and Vuong (2002) (RV) model selection under misspecification. However, degeneracy of RV invalidates...

I refine the test for clustering of Patton and Weller (2022) to allow for cluster switching. In a multivariate panel setting, clustering on timeaverages produces consistent estimators of means and group assignments. Once switching is introduced, we lose the consistency. In fact, under switching...

In a recent paper Juodis and Reese (2022) (JR) show that the application of the CD test proposed by Pesaran (2004) to residuals from panels with latent factors results in over-rejection. They propose a randomized test statistic to correct for over-rejection, and add a screening component to...

In mid-2016, all journals of the American Economic Association (AEA) stopped including significance stars in their regression tables. This policy aimed to reduce the emphasis on statistical significance and shift focus toward the broader economic importance of research findings. This study...

Many economic panel and dynamic models, such as rational behavior and Euler equations, imply that the parameters of interest are identified by conditional moment restrictions. We introduce a novel inference method without any prior information about which conditioning instruments are weak or...