In this paper, we test the international conditional CAPM model of Dumas and Solnik (1993) and the international conditional APT model of Ferson and Harvey (1992), as well as various extensions of these models. These models were typically estimated by GMM and found to be valid according to the...

In this paper, we use identification-robust methods to assess the empirical adequacy of a New Keynesian Phillips Curve (NKPC) equation. We focus on the Gali and Gertler's (1999) specification, on both U.S. and Canadian data. Two variants of the model are studied: one based on a...

We test for the presence of time-varying parameters (TVP) in the long-run dynamics of energy prices for oil, natural gas and coal, within a standard class of mean-reverting models. We also propose residual-based diagnostic tests and examine out-of-sample forecasts. In-sample LR tests support the...