If the intensity parameter in a jump diffusion model is identically zero, then parameters characterizing the jump size density cannot be identified. In general, this lack of identification precludes consistent estimation of identified parameters. Hence, it should be standard practice to...

This paper introduces bootstrap specification tests for diffusion processes. In the one-dimensional case, the proposed test is closest to the nonparametric test introduced by Ait-Sahalia (1996), in the sense that both procedures determine whether the drift and variance components of a particular...

In this paper, we show the first order validity of the block bootstrap in the context of Kolmogorov type conditional distribution tests when there is dynamic misspecification and parameter estimation error. Our approach differs from the literature to date because we construct a bootstrap...

We take as a starting point the existence of a joint distribution implied by different dynamic stochastic general equilibrium (DSGE) models, all of which are potentially misspecified. Our objective is to compare "true" joint distributions with ones generated by given DSGEs. This is accomplished...

In 2005, the Indian Government launched a conditional cash-incentive program to encourage institutional delivery. This paper studies the effects of the program on neonatal mortality using district-level household survey data. We model mortality using survival analysis, paying special attention...

This paper provides distribution free tests for detecting sample selection in conditional quantile functions. The first test is an omitted predictor test with the propensity score as the omitted variable. In the case of rejection we cannot distinguish between rejection due to genuine selection...

In the conduct of empirical macroeconomic research, unit root, cointegration, common cycle, and related test statistics are often constructed using logged data, even though there is often no clear reason, at least from an empirical perspective, why logs should be used rather than levels....

This paper introduces bootstrap specification tests for diffusion processes. In the one-dimensional case, the proposed test is closest to the non parametric test introduced by Ait-Sahalia (1996), in the sense that both procedures determine whether the drift and variance components of a...

In this paper, we show the first order validity of the block bootstrap in the context of Kolmogorov type conditional distribution tests when there is dynamic misspecification and parameter estimation error. Our approach di®ers from the literature to date because we construct a bootstrap...

Mild factor loading instability, particularly if sufficiently independent across the different constituent variables, does not affect the estimation of the number of factors, nor subsequent estimation of the factors themselves (see e.g. Stock and Watson (2009)). This result does not hold in the...