Data ste which contain jointly endogeneous discrete and continuous variables often occur in practice. This paper presents a model of the economic and stochastic processes generating such data as well as methods of estimation. A maximum likelihood estimator is examined and found to exhibit the...

In this paper we propose a new battery of test statistics for dynamic specification and density functional form in a wide range of multivariate time series models including linear and non-linear VAR specifications with multivariate GARCH disturbances. The tests are applied to the vector of...

We augment the increasingly common practice of typically ad hoc robustness tests into a research methodology that allows reliable inferences when researchers do not know the true data-generating process. We identify three principal sources of model uncertainty. First, theories simplify and aim...