Traditional measures of dependence in time series are typically based on correlations or periodograms. These are adequate in many circumstances but, in others, especially when trying to assess market linkages (e.g., financial contagion), might be inappropriate. In the present paper we propose...

This article proposes a new identification strategy and a new estimation method for the hybrid New Keynesian Phillips curve (NKPC). Unlike the predominant Generalized Method of Moments (GMM) approach, which leads to weak identification of the NKPC with U.S. postwar data, our non-parametric...

The purpose of the present paper is to relate two important concepts of time series analysis, namely, nonlinearity and persistence. Traditional measures of persistence are based on correlations or periodograms, which may be inappropriate under nonlinearity and/or non-Gaussianity. This article...

This paper investigates estimation of linear regression models with strictly exogenous instruments under minimal identifying assumptions. Commonly used Instrumental Variables (IV) estimators are not uniformly consistent in this setting (uniformity is in the underlying data generating process)....

We propose a test for invertibility or fundamentalness of structural vector autoregressive moving average models generated by non-Gaussian independent and identically distributed (iid) structural shocks. We prove that in these models and under some regularity conditions the Wold innovations are...

This note proves the consistency and asymptotic normality of the Quasi-Maximum Likelihood Estimator (QMLE) of the parameters of a GARCH model with martingale difference centered squared innovations. The results are obtained under mild conditions and generalize and improve those in Lee and Hansen...

Backtesting methods are statistical tests designed to uncover excessive risk-taking from financial institutions. We show in this paper that these methods are subject to the presence of model risk produced by a wrong specification of the conditional VaR model, and derive its effect on the...