In an important class of econometric problems, researchers select a target parameter by maximizing the Euclidean norm of a data-dependent vector. Examples that can be cast into this frame include threshold regression models with estimated thresholds and structural break models with estimated...

We propose an easily implementable test of the validity of a set of theoretical restrictions on the relationship between economic variables, which do not necessarily identify the data generating process. The restrictions can be derived from any model of interactions, allowing censoring and...

We extend to score, Wald and difference test statistics the scaled and adjusted corrections to goodness-of-fit test statistics developed in Satorra and Bentler (1988a,b). The theory is framed in the general context of multisample analysis of moment structures, under general conditions on the...

Identification in most sample selection models depends on the independence of the regressors and the error terms conditional on the selection probability. All quantile and mean functions are parallel in these models; this implies that quantile estimators cannot reveal any - per assumption...

We estimate and test for multiple structural breaks in distribution with unknown break dates via a characteristic function approach. By minimizing the sum of squared generalized residuals, we can consistently estimate the break fractions. We propose a sup-F type test for structural breaks in...

This paper develops parameter instability and structural change tests within predictive regressions for economic systems governed by persistent vector autoregressive dynamics. Specifically, in a setting where all – or a subset – of the variables may be fractionally integrated and the...

In an important class of econometric problems, researchers select a target parameter by maximizing the Euclidean norm of a data-dependent vector. Examples that can be cast into this frame include threshold regression models with estimated thresholds, and structural break models with estimated...

In an important class of econometric problems, researchers select a target parameter by maximizing the Euclidean norm of a data-dependent vector. Examples that can be cast into this frame include threshold regression models with estimated thresholds and structural break models with estimated...

In this paper, tests for fractional cointegration that allow for structural breaks in the long-run equilibrium are proposed. Traditional cointegration tests cannot handle shifts in fractional cointegration relationships, a limitation addressed here by allowing for a time-dependent memory...