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...

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...

We propose a methodology to construct tests for the null hypothesis that the pricing errors of a panel of asset returns are jointly equal to zero in a linear factor asset pric- ing model - that is, the null of "zero alpha". We consider, as a leading example, a model with observable, tradable...

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...

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...

In this paper, a beta transform of multivariate normal datasets is obtained. The phi divergence measure, DΦ(F,G) between two distributions F and G is used to obtain a goodnessof-fit test to multivariate normality (MVN) based on the theoretical density function of the beta transformed random...

Value-at-Risk (VaR) is a key metric widely applied in market risk assessment and regulatory compliance under the Basel III framework. This study compares two Monte Carlo-based VaR models using publicly available equity data: a return-based model calibrated to historical portfolio volatility, and...

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...

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,...

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...

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...

This paper studies the limiting behavior of the test for instrument exogeneity in linear models when there is uncertainty about the strength of the identification signal. We consider the test for conditional moment restrictions with an expanding set of constructed instruments. We establish the...

We implement a quantitative empirical test of the fiscal theory of the price level (FTPL) model via indirect inference, comparing it to a standard New Keynesian model. The FTPL alternative creates a serious instability problem because it triggers a 'doom loop'in which inflation pushes up...

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...

Researchers may want to know whether an observed statistical relationship is either meaningfully negative, meaningfully positive, or small enough to be considered practically equivalent to zero. Such a question can not be addressed with standard null hypothesis significance testing, nor with...

Purpose - This study aims to find suitable replacements for hypothesis testing and variable-importance measures. Design/methodology/approach - This study explores under-used predictive methods. Findings - The study's hypothesis testing can and should be replaced by predictive methods. It is the...

Under the revised market risk framework of the Basel Committee on Banking Supervision, the model validation regime for internal models now requires that models capture the tail risk in profit-and-loss (P&L) distributions at the trading desk level. We develop multi-desk backtests, which...

Pre-registration is regarded as an important contributor to research credibility. We investigate this by analyzing the pattern of test statistics from the universe of randomized controlled trials (RCT) studies published in 15 leading economics journals. We draw two conclusions: (a)...

We develop a new permutation test for inference on a subvector of coefficients in linear models. The test is exact when the regressors and the error terms are independent. Then we show that the test is asymptotically of correct level, consistent, and has power against local alternatives when the...

This paper reconsiders the question of testing for the presence of Pareto suboptimal capital overaccumulation in overlapping generations economies. The paper allows generation‐specific technology shocks to evolve over time according to a stationary Markov chain, and assumes that an...

We review tests of null hypotheses that consist of many subsidiary null hypotheses, including tests that have not received much attention in the econometrics literature. We study test performance in the context of specification testing for linear regressions based on a Monte Carlo study....