Tests for structural change play an important role in macroeconomics and international finance. We investigate the empirical performance of the Bai and Perron (1998) multiple structural change tests and show that the use of their critical values may cause severe size distortions in persistent...

Bidders’ risk attitudes have important implications for sellers seeking to maximize expected revenues. In ascending auctions, auction theory predicts bid distributions in Bayesian Nash equilibrium does not convey any information about bidders' risk preference. We propose a new approach for...

In this paper, we propose the use of bootstrapping methods to obtain correct critical values for dating breaks. Following the procedure proposed in Banerjee, Lazarova and Urga (1998), we consider the case of estimating a system with two or more marginal processes and a conditional process....

We propose a new method of testing stochastic dominance which improves on existing tests based on bootstrap or subsampling. Our test requires estimation of the contact sets between the marginal distributions. Our tests have asymptotic sizes that are exactly equal to the nominal level uniformly...

The aim of this paper is to give a formal definition and consistent estimates of the extremes of a population. This definition relies on a threshold value that delimits the extremes and on the uniform convergence of the distribution of these extremes to a Pareto type distribution. The tail...