Showing 1 - 10 of 27
This article addresses statistical inference in models defined by conditional moment restrictions. Our motivation comes from two observations. First, generalized method of moments, which is the most popular methodology for statistical inference for these models, provides a unified methodology...
Persistent link: https://www.econbiz.de/10005249742
In econometrics, models stated as conditional moment restrictions are typically estimated by means of the generalized method of moments (GMM). The GMM estimation procedure can render inconsistent estimates since the number of arbitrarily chosen instruments is finite. In fact, consistency of the...
Persistent link: https://www.econbiz.de/10005332359
Persistent link: https://www.econbiz.de/10011005100
This article investigates the finite-sample performance of a modified Box-Pierce Q statistic (Q*) for testing that financial time series are uncorrelated without assuming statistical independence. The finite-sample rejection probabilities of the Q* test under the null and its power are examined...
Persistent link: https://www.econbiz.de/10005550045
There is frequently interest in testing that a scalar or vector time series is I(0), possibly after first- differencing or other detrending, while the I(0) assumption is also taken for granted in autocorrelation-consistent variance estimation. We propose a test for I(0) against fractional...
Persistent link: https://www.econbiz.de/10005310358
This article studies dynamics in a model where agents forecast a one dimensional variable via ordinary least squares regressions on the lagged values of the state variable. We study the stability properties of alternative transformations of the state variable that the agent can endogenously set...
Persistent link: https://www.econbiz.de/10005310400
We use Mexican firm-level data to study the role of currency mismatches in exacerbating the negative effects of a devaluation in the corporate sector and to investigate what drives Mexican firms to borrow in foreign currency. Our results show that large firms and exporters tend to borrow more...
Persistent link: https://www.econbiz.de/10005310438
This article studies dynamics in a model where agents forecast a one dimensional state variable via ordinary least squares regressions on the lagged values of the state variable. We study the stability properties of alternative transformations of the state variable that the agent can...
Persistent link: https://www.econbiz.de/10005310443
Persistent link: https://www.econbiz.de/10005180227
This article introduces a unified methodology for estimating and testing nonlinear econometric models defined by conditional moment restrictions. These models are very common in econometrics, such as nonlinear rational expectation models. The current approach for inference in these models is the...
Persistent link: https://www.econbiz.de/10010538930