This paper provides an extensive Monte-Carlo comparison of severalcontemporary cointegration tests. Apart from the familiar Gaussian basedtests of Johansen, we also consider tests based on non-Gaussianquasi-likelihoods. Moreover, we compare the performance of these parametrictests with tests...

This paper analyses issues related to weak exogeneity in a financial point process. We extend the Hausman test of weak exogeneity in a time series model and propose three cases in which weak exogeneity conditions will break down. The simulation study suggested that a failure of the exogeneity...

This paper introduces an extended multivariate EGARCH model that overcomes the zero-return problem and allows for negative news and volatility spillover effects, making it an attractive tool for multivariate volatility modeling. Despite limitations, such as noninvertibility and unclear...

A common practice in estimating parameters in DSGE models is to nd a set that when simulated gets close to an average of certain data moments; the model s simulated performance for other moments is then compared to the data for these as an informal test of the model. We call this procedure...

Maximum Likelihood (ML) shows both lower power and higher bias in small sample Monte Carlo experiments than Indirect Inference (II) and IIís higher power comes from its use of the model-restricted distribution of the auxiliary model coeffi cients (Le et al. 2016). We show here that IIís higher...

A common practice in estimating parameters in DSGE models is to Önd a set that when simulated gets close to an average of certain data moments; the modelís simulated performance for other moments is then compared to the data for these as an informal test of the model. We call this procedure...

Indirect Inference has been found to have much greater power than the Likelihood Ratio in small samples for testing DSGE models. We look at asymptotic and large sample properties of these tests to understand why this might be the case. We find that the power of the LR test is undermined when...