In this paper we propose a method that allows to test for asset price bubbles. The method is mainly based on a bootstrap methodology which helps to compute the finite sample probability distribution of the asymptotic tests which were recently proposed in Phillips et al. (2011) and Phillips and...

In a search for more powerful unit root tests, some researchers have recently proposed accounting for the information contained in the GARCH of the innovations. However, while promising, tests with GARCH are difficult to implement, which has made them quite uncommon in the empirical literature....

We re-examine the tax-spending nexus using a panel of 50 US state-local government units between 1963 and 1997. We find that, unlike tax revenues, expenditures adjust to revert back to a long-term equilibrium relationship. The evidence on the short-term dynamics is also consistent with the...

This paper re-examines the validity of the monetary exchange rate model during the post-Bretton Woods era for 18 OECD countries. Our analysis simultaneously considers the presence of both cross-sectional dependence and multiple structural breaks, which have not received much attention in...