Abstract Empirical research with Markov regime-switching models often requires the researcher not only to estimate the model but also to test for the presence of more than one regime. Despite the need for both estimation and testing, methods of estimation are better understood than are methods...

For Markov regime-switching models, a nonstandard test statistic must be used to test for the possible presence of multiple regimes. Carter and Steigerwald (2013, Journal of Econometric Methods 2: 25–34) derive the analytic steps needed to implement the Markov regime-switching test proposed by...

We develop a microstructure model that, in contrast to previous models, allows one to estimate the frequency and quality of private information. In addition, the model produces stationary asset price and trading volume series. We find evidence that information arrives frequently within a day and...

We develop a method for measuring the foresight agents have. We first dichotomize an agent's information at current date t into knowledge up to date t + f and expectations after t + f. We then form a residual-based test statistic that allows us to compare prediction errors for econometric models...

We study the effect of income uncertainty on consumption in a model that includes precautionary saving. In contrast to previous studies, we focus on time-series variation in income uncertainty. Our time-series measure of income uncertainty is constructed from a panel of forecasts. We find...