We present novel theory for testing for reduction of GARCH-X type models with an exogenous (X) covariate to standard GARCH type models. To deal with the problems of potential nuisance parameters on the boundary of the parameter space as well as lack of identification under the null, we exploit a...

We introduce the Qualitative Expectations Hypothesis (QEH) as a new approach to modeling macroeconomic and Financial outcomes. Building on John Muth's seminal insight underpinning the Rational Expectations Hypothesis (REH), QEH represents the market's forecasts to be consistent with the...

We introduce the Qualitative Expectations Hypothesis (QEH) as a new approach to modeling macroeconomic and Financial outcomes. Building on John Muth's seminal insight underpinning the Rational Expectations Hypothesis (REH), QEH represents the market's forecasts to be consistent with the...

We introduce the Qualitative Expectations Hypothesis (QEH) as a new approach to modeling macroeconomic and financial outcomes. Building on John Muth's seminal insight underpinning the Rational Expectations Hypothesis (REH), QEH represents the market's forecasts to be consistent with the...

It is a well-established fact that testing a null hypothesis on the boundary of the parameter space, with an unknown number of nuisance parameters at the boundary, is infeasible in practice in the sense that limiting distributions of standard test statistics are non-pivotal. In particular,...

In this paper we discuss the general application of the bootstrap as a tool for statistical inference in econometric time series models. We do this by considering the implementation of bootstrap inference in the class of double-autoregressive [DAR] models discussed in Ling (2004). DAR models are...

This paper introduces the Knightian Uncertainty Hypothesis (KUH), a new approach to macroeconomics and finance theory. KUH rests on a novel mathematical framework that characterizes both measurable and Knightian uncertainty about economic outcomes. Relying on this framework and John Muth's...

This paper proposes the Knightian Uncertainty Hypothesis (KUH), a new approach to macroeconomics and finance theory. KUH rests on a novel mathematical framework that characterizes both measurable and Knightian uncertainty about economic outcomes. Relying on this framework and Muth's pathbreaking...

This paper develops tests for the correct specification of the conditional variance function in GARCH models when the true parameter may lie on the boundary of the parameter space. The test statistics considered are of Kolmogorov-Smirnov and Cramér-von Mises type, and are based on a certain...

Inference and testing in general point process models such as the Hawkes model is predominantly based on asymptotic approximations for likelihoodbased estimators and tests, as originally developed in Ogata (1978). As an alternative, and to improve finite sample performance, this paper considers...