In this note we propose a general testing procedure for parametric models based on Bartlett Identities. A well-know example is the Information Matrix test, which is based on the Bartlett Identity of order 1. The Identities are shown to induce a sequence of testable restrictions on the data...

Two extensions of a parametric model are proposed, each one involving the score function of an alternative parametric model. We show that the encompassing hypothesis is equivalent to standard conditions on the score of each of the extended models. The condition on the first extension gives rise...

The aim of this paper is to analyze the sensitivity of Value at Risk (VaR) with respect to portfolio allocation. We derive analytical expressions for the first and second derivatives of the Value at Risk, and explain how they can be used to simplify statistical inference and to perform a local...

Inference on common parameters in panel data models with individual-specific fixed effects is a classic example of Neyman and Scott's (Econometrica 36:1-32, 1948) incidental parameter problem (IPP). One solution to this IPP is functional differencing (Bonhomme in Econometrica 80(4):1337-1385,...