One of the implications of the creation of Basel Committee on Banking Supervision wasthe implementation of Value-at-Risk (VaR) as the standard tool for measuring market risk.Since then, the capital requirements of commercial banks with trading activities are basedon VaR estimates. Therefore,...

This article proposes a general class of joint and marginal diagnostic tests for parametric conditional mean and variance models of possibly nonlinear non-Markovian time series sequences. The use of joint and marginal tests is motivated from the fact that marginal tests for the conditional...

This paper proposes an asymptotically optimal specification test of single-index models against alternatives that lead to inconsistent estimates of a covariate's average partial effect. The proposed tests are relevant when a researcher is concerned about a potential violation of the single-index...

This paper provides a systematic approach to semiparametric identification that is based on statistical information. Identification can be regular or irregular, depending on whether the Fisher information for the parameter is positive or singular, respectively. I first characterize these two...

This article reviews some recent advances in testing for serial correlation, provides Stata code for implementation and illustrates its application to market risk forecast evaluation. The classical and widely used Portamenteau tests and their data-driven versions are the focus of this article....

This paper investigates estimation of linear regression models with strictly exogenous instruments under minimal identifying assumptions. The paper introduces a uniformly (in the data generating process) consistent estimator under nearly minimal identifying assumptions. The proposed estimator,...