The New Classical theorem asserts that (a) the individuals with rational expectations do not change their consumption levels unless the expected permanent income changes, and, (b), thusly, tax and/or debt policies are not significant on consumption decisions of the individuals, at least in the...

This report presents an application of a macro stress testing procedure on credit risk in the Romanian banking system. Macro stress testing, i.e. assessing the vulnerability of financial systems to exceptional but plausible macroeconomic scenarios, maintains a central role in macro-prudential...

Tests for spherical symmetry of the innovation distribution are proposed in multivariate GARCH models. The new tests are of Kolmogorov--Smirnov and Cram\'er--von Mises--type and make use of the common geometry underlying the characteristic function of any spherically symmetric distribution. The...

The New Classical theorem asserts that (a) the individuals with rational expectations do not change their consumption levels unless the expected permanent income changes, and, (b), thusly, tax and/or debt policies are not significant on consumption decisions of the individuals, at least in the...

We address the issue of panel cointegration testing in dependent panels, showing by simulations that tests based on the stationary bootstrap deliver good size and power performances even with small time and cross-section sample sizes and allowing for a break at a known date. They can thus be an...

We compare heteroskedasticity-robust inference methods with a large-scale Monte Carlo study based on regressions from 155 reproduction packages of leading economic journals. The results confirm established wisdom and uncover new insights. Among well established methods HC2 standard errors with...

Abstract This paper is concerned with the evaluation of the performance of the normality tests to ensure the validity of the t-statistics used for assessing significance of regressors in a regression model. For this purpose, we have explored 40 distributions to find the most damaging...

The noncentral chi-square approximation of the distribution of the likelihood ratio (LR) test statistic is a critical part of the methodology in structural equations modeling (SEM). Recently, it was argued by some authors that in certain situations normal distributions may give a better...

The noncentral chi-square approximation of the distribution of the likelihood ratio (LR) test statistic is a critical part of the methodology in structural equations modeling (SEM). Recently, it was argued by some authors that in certain situations normal distributions may give a better...

Macroeconomic practitioners frequently work with multivariate time series models such as VARs, factor augmented VARs as well as time-varying parameter versions of these models (including variants with multivariate stochastic volatility). These models have a large number of parameters and, thus,...