Vector autoregressions (VARs) are an important tool in time series analysis. However, relatively little is known about the finite-sample behaviour of parameter estimators. We address this issue, by investigating ordinary least squares (OLS) estimators given a data generating process that is a...

The finite-sample null distribution of the Jarque-Bera Lagrange multiplier test for normality differs considerably from the asymptotic X2 (2). However, asymptotic critical values are commonly used in applied work, even for relatively small sample sizes. Here, we develop very accurate response...

A frequently used test for unspeciÞed nonlinear omissions is the parametric RESET, which is based upon a Þnite polynomial. We follow Abadir (1999), who suggests that the generalized hypergeometric function may provide a more ßexible proxy for the omission; and propose a new approach,...