This paper proposes Pearson-type statistics based on implied probabilities to detect structural change. The class of generalized empirical likelihood estimators (see Smith <xref>1997</xref>, <italic>The Economic Journal</italic>107, 503–519) assigns a set of implied probabilities to each observation such that moment...

We analyze the modifications that occur in indirect inference when a nuisance parameter is not identified under the null hypothesis. We develop a testing procedure adapted to this simulation-based estimation method, and detail its use for detecting the threshold effect in threshold moving...

This paper studies the statistical properties of impulse response functions in structural vector autoregressions (SVARs) with a highly persistent variable as hours worked and long-run identifying restrictions. The highly persistent variable is specified as a nearly stationary persistent process....