Sometimes the conventional asymptotic theory yields that the limiting distribution changes discontinuously, or that the asymptotic distribution does not approximate accurately the actual finite-sample distribution. In such situations one finds useful an asymptotic tool of drifting...

This paper studies the asymptotic validity of the Anderson–Rubin (<italic>AR</italic>) test and the <italic>J</italic> test for overidentifying restrictions in linear models with many instruments. When the number of instruments increases at the same rate as the sample size, we establish that the conventional <italic>AR</italic> and <italic>J</italic> tests are...

This article proposes a bootstrap method for constructing two-sided confidence intervals for the moving average (MA) parameter in nearly noninvertible models. The confidence intervals are obtained by inverting the acceptance region of the likelihood ratio (LR) test reflecting the asymmetry of...

Many economic time series are charecterized by high persistence which typically requires nonstandard limit theory for inference. This paper proposes a new method for constructing confidence intervals for the impulse response functions of nearly nonstationary processes. The method is based on...

This study provides an in‐depth analysis of risk premiums in the Canadian Bankers' Acceptances futures (BAX) market. The predictive regressions for excess and holding‐period returns on BAX futures lend empirical support to the presence of time‐varying risk premiums especially at longer...

This article clarifies the empirical source of the debate on the effect of technology shocks on hours worked. We find that the contrasting conclusions from levels and differenced vector autoregression specifications, documented in the literature, can be explained by a small low-frequency...

This paper embeds a staggered price feature into the standard speculative storage model of Deaton and Laroque (1996). Intermediate goods inventory speculators are added as an additional source of intertemporal linkage, which helps us to replicate the stylized facts of the observed commodity...