This paper assesses the finite sample refinements of the block bootstrap and the Non-Parametric Bootstrap for conditional moment models. The study recononsiders inference in the generalized method of moments estimation of the consumption asset pricing model of Singleton (1986). These dependent bootstrap resampling schemes are proposed as an alternative to the asymptotic approximation in small s...

After reviewing the simulation performance of general-to-specific automatic regressionmodel selection, as embodied in PcGets, we show how model selection can be nondistortionary: approximately unbiased ‘selection estimates’ are derived, with reported standard errors close to the sampling standard deviations of the estimated DGP parameters, and a near-unbiased goodness-of-fit measure. The handli...

This paper shows that volatility persistence in GARCH models and spurious long memory in autoregressive models may arise if the possibility of structural changes is not incorporated in the time series model. It also describes a tractable hidden Markov model in which regression parameters and error variances may undergo abrupt changes at unknown time points, while staying constant between adjace...

In this paper we suggest panel data unit root tests which allow for a potential structural break in the individual e¤ects and/or the trends of each series of the panel, assuming that the time-dimension of the panel, T , is ...xed. The proposed test statistics consider for the case that the break point is known and for the case that it is unknown. Monte Carlo evidence suggests that they have siz...

In this article we provide evidence for a rational bubble in S&P 500 stock prices by applying a test for changing persistence under fractional integration proposed by Sibbertsen and Kruse (2007). We find strong evidence for stationary long memory before the estimated change point in 1955 and a unit root afterwards. These results bring two empirical findings in line: on one hand they confirm the...

We develop new tests for the coe¢ cient on a time trend in a regression of a variable on a constant and time trend where there is potentially strong serial correlation. This serial correlation can also include a unit root. We obtain tests under two different assumptions on the initial value for the stochastic component of the variable being examined, either this being zero asymptotically (as in...

There have been numerous attempts at the formation of regional policy groupings within Latin America and the Caribbean (LAC). This paper analyses the similarities in macroeconomic policies pursued by member countries using realised correlation analysis on 26 LAC countries and observations covering the period 1970–2005. The study finds evidence of co-movement in monetary, fiscal, trade and capit...

In this chapter, we discuss the use of mixed frequency models and diffusion index approximation methods in the context of prediction. In particular, select recent specification and estimation methods are outlined, and an empirical illustration is provided wherein U.S. unemployment forecasts are constructed using both classical principal components based diffusion indexes as well as using a comb...

In this paper a Bayesian approach to unit root testing for panel data models is proposed based on the comparison of stationary autoregressive models with and without individual deterministic trends, with their counterpart models with a unit autoregressive root. This is done under cross-sectional dependence among the units of the panel. Simulation experiments are conducted with the aim to assess...