This paper explores tests of the hypotheses that the tail thickness of a distribution is constant over time. Using Hill's conditional maximum likelihood estimator for the tail index of a distribution, tests of tail shape constancy are constructed that allow for an unknown breakpoint. The...

This paper explores tests of the hypothesis that the tail thickness of a distribution is constant over time. Using Hill's conditional maximum likelihood estimator for the tail index of a distribution, tests of tail shape constancy are constructed that allow for an unknown breakpoint. The...

This paper develops an alternative asymptotic approach to Staiger-Stock's (1997) local to zero IV estimation of a structural parameter when instruments are weakly related to the endogenous variables. Rather than treating the limiting coefficients of the instruments in the first-stage regression...

To test for the number of cointegrating relationships among multivariate time series, the likelihood ratio (LR) test for ranks is commonly used. The distribution of the LR test in partially nonstationary models is nonstandard and nonsymmetric in the presence of non-iid errors. In contrast we...