In this paper we use optimal-instrument and new finite-sample methods to test the empirical relevance of the New Keynesian Phillips curve (NKPC) equation. Unlike generalized method of moments-based methods, these generalized Anderson-Rubin tests are immune to the presence of weak instruments,...

Exact inference methods are proposed for asset pricing models with unobservable risk-free rates and coskewness; specifically, the Quadratic Market Model (QMM) which incorporates the effect of asymmetry of return distribution on asset valuation. In this context, exact tests are appealing given...

In this paper, we propose finite and large sample likelihood based test procedures for possibly non-linear hypotheses on the coefficients of SURE systems. Two complementary approaches are described. First, we propose an exact Monte Carlo bounds test based on the standard likelihood ratio...

In this paper, we propose finite and large sample likelihood based test procedures for possibly non-linear hypotheses on the coefficients of SURE systems. Two complementary approaches are described. First, we propose an exact Monte Carlo bounds test based on the standard likelihood ratio...

In simultaneous equation (SE) contexts, nuisance parameter, weak instruments and identification problems severely complicate exact and asymptotic tests (except for very specific hypotheses). In this paper, we propose exact likelihood based tests for possibly nonlinear hypotheses on the...

The authors structurally estimate and evaluate, for the U.S., the E.U., and Canada, various classes of recently-proposed Calvo-type models, using identification-robust methods. The models differ in their assumptions regarding price indexation (when firms cannot re-optimize their pices), in the...

In this paper we use optimal-instrument and new finite-sample methods to test the empirical relevance of the New Keynesian Phillips curve (NKPC) equation. Unlike generalized method of moments-based methods, these generalized Anderson-Rubin tests are immune to the presence of weak instruments,...

In the context of multivariate regression (MLR) and simultaneous equations (SE), it is well known that commonly employed asymptotic test criteria are seriously biased towards overrejection. In this paper, we propose finite and large sample likelihood based test procedures for possibly nonlinear...

This paper proposes finite-sample procedures for testing the SURE specification in multi-equation regression models, i.e. whether the disturbances in different equations are contemporaneously uncorrelated or not. We apply the technique of Monte Carlo (MC) tests [Dwass (1957), Barnard (1963)] to...

In the context of multivariate linear regression (MLR) models, it is well known that commonly employed asymptotic test criteria are seriously biased towards overrejection. In this paper, we propose a general method for constructing exact tests of possibly nonlinear hypotheses on the coefficients...