This paper is concerned with issues of model specification, identification, and estimation in exchange rate models with unobservable fundamentals. We show that the model estimated by Gardeazabal, Regulez and Vazquez (International Economic Review, 1997) is not identified and demonstrate how to...

This paper reports the results of an extensive investigation into the use of the jackknife as a method of estimation in stationary autoregressive models. In addition to providing some general theoretical results concerning jackknife methods it is shown that a method based on the use of...

This paper investigates the performance of a jackknife correction to a test for cointegration rank in a vector autoregressive system. The limiting distributions of the jackknife-corrected statistics are derived and the critical values of these distributions are tabulated. Based on these critical...