We discuss how to test whether the distribution of regression errors belongs to a parametric family of continuous distribution functions, making no parametric assumption about the conditional mean or the conditional variance in the regression model. We propose using test statistics that are...

Empirical researchers are frequently confronted with issues regarding which explanatory variables to include in their models. This article describes the application of a well-known model-selection algorithm to Stata: general-to-specific (GETS) modeling. This process provides a prescriptive and...

Out-of-sample forecasting tests of DSGE models against time-series benchmarks such as an unrestricted VAR are increasingly used to check a) the specification b) the forecasting capacity of these models. We carry out a Monte Carlo experiment on a widely-used DSGE model to investigate the power of...

This paper introduces a nonparametric test for the correct specification of a linear conditional quantile function over a continuum of quantile levels. These tests may be applied to assess the validity of post-estimation inferences regarding the effect of conditioning variables on the...

This paper develops a new methodology for estimating and testing conditional factor models in finance. We propose a two-stage procedure that naturally unifies the two existing approaches in the finance literature–the parametric approach and the nonparametric approach. Our combined approach...

We study water demand among non-tap households in three cities in El Salvador and in marginal barrios in Tegucigalpa, Honduras, using data from identical household studies in the four cities. We estimate water demand functions separately for El Salvador and Tegucigalpa, using a two-step...