In my dissertation, I consider hypothesis testing with nuisance parameters identified only under the alternative hypothesis in the time series environment. The first chapter proposes tests for cointegrating rank that have power against the trend-break alternative. The conventional testing...

En este documento se proponen nuevos métodos con el objetivo de construir intervalos de confianza para el sesgo del estimador de mínimos cuadrados en dos etapas y para la distorsión del tamaño del test de Wald asociado a los modelos de variables instrumentales. Es importante destacar que...

Despite their widespread use as predictors of the spot price of oil, oil futures prices tend to be less accurate in the mean-squared prediction error sense than no-change forecasts. This result is driven by the variability of the futures price about the spot price, as captured by the oil futures...

We show that the effects of overfitting and underfitting a vector autoregressive (VAR) model are strongly asymmetric for VAR summary statistics involving higher-order dynamics (such as impulse response functions, variance decompositions, or long-run forecasts) . Underfit models often...

We propose a Bayesian framework in which the uncertainty about the half-life of deviations from purchasing power parity can be quantified. Based on the responses to a survey study, we propose a prior probability distribution for the half-life under the recent float intended to capture widely...

We propose an exchange rate model that can explain both the observed volatility and the persistence of real and nominal exchange rate movements and thus in some measure resolves Rogoff?s (1996) purchasing power parity puzzle. Our analysis reconciles the well-known difficulties in beating the...

In this dissertation, we analyze whether the noise ratio statistic of Durlauf and Hall (1989), NRT, can be used as a non-nested model selection tool in a similar fashion to the Rivers and Vuong (2002) framework. For this purpose, we first show that, when scaled by the sample size T, NRT is...

The increased importance of fragmentation in world trade has created an interest among trade economists to explain the determinants of trade in intermediate goods. A substantial part of trade in intermediates between the US and OECD countries takes the form of intra-industry (IIT). I have...

This dissertaion is comprised of two essays on econometric evaluation of models of commodity futures prices. The first essay develops a frequency- domain volatility bound approach that can be used to evaluate possibly mis-specified models. The proposed method allows us to detect model failures...

This dissertation consists of three essays, first two of which consider a new estimation method of dynamic panel data models and the last one considers an application of these models. The first essay (Chapter 1) offers empirical likelihood (EL) estimation of dynamic panel data models, which...