Kim, Belaire-Franch and Amador ["Journal of Econometrics" (2002) Vol. 109, pp. 389-392] and Busetti and Taylor ["Journal of Econometrics" (2004) Vol. 123, pp. 33-66] present different percentiles for the same mean score test statistic. We find that the difference by a factor 0.6 is due to...

The inverse normal method, which is used to combine "P"-values from a series of statistical tests, requires independence of single test statistics in order to obtain asymptotic normality of the joint test statistic. The paper discusses the modification by <link rid="b10">Hartung (1999, "Biometrical Journal",...

In this paper we provide a general two‐step framework for linear projection estimators of impulse responses in structural vector autoregressions (SVARs). This framework is particularly useful for situations when structural shocks are identified from information outside the VAR (e.g. narrative...