This paper suggests the use of simple minimum distance methods to estimate restricted cointegrating vectors. The method directly employs minimum distance methods on unrestricted cointegrating matrices estimated in the usual way to estimate restricted parameters which are linearly or nonlinearly...

Let a class $\F$ of densities be given. We draw an i.i.d.\ sample from a density $f$ which may or may not be in $\F$. After every $n$, one must make a guess whether $f \in \F$ or not. A class is almost surely testable if there exists such a testing sequence such that for any $f$, we make...

We investigate the implications of changes in the structure of the US economy for monetary policy effectiveness. Estimating a VAR over the pre- and post-1980 periods, we provide evidence of a reduced effect of monetary policy shocks in the latter period. We estimate a structural model that...

This paper develops a tractable empirical approach to estimate the effect of on-the-job tenure on the permanent and the transitory variance of earnings. The model is also used to evaluate earnings instability associated with fixed-term contracts (short-tenure contracts) in Italy. Our results...

This study examines the Koehler and Symanovski copula function with specific marginals, such as the skew Student-t, the skew generalized secant hyperbolic, and the skew generalized exponential power distributions, in modelling financial returns and measuring dependent risks. The copula function...

A new parametric minimum distance time-domain estimator for ARFIMA processes is introduced in this paper. The proposed estimator minimizes the sum of squared correlations of residuals obtained after filtering a series through ARFIMA parameters. The estimator is easy to compute and is consistent,...