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In this paper we consider a discretely sampled Jacobi process appropriate to specify the dynamics of a process with range [0,1], such as a discount coefficient, a regime probability, or a state price. The discrete time transition of the Jacobi process does not admit a closed form expression and therefore the exact maximum likelihood is unfeasable. We first(More)
This paper examines Wald-type tests in presence of (possibly) singular covariance matrices. Two different types of singularity are addressed: first, the sample matrix has full rank but converges to a singular covariance matrix; in this case, the Wald statistic is still computable, but usual regularity conditions do not hold anymore, which modifies its(More)
This paper considers the issue of testing hypotheses in the presence of (possibly) singular covariance matrices. We focus on the case where the finite-sample covariance matrix may not be singular but converges to an asymptotic singular population matrix. The econometrician can face this type of situations when the derivative matrix of the restrictions has a(More)
This paper examines the link between globalization measured by foreign direct investment (FDI) and foreign portfolio investment (FPI) and privatization of state-owned enterprises in a multi-country sample that focuses on developing countries. We hypothesize that privatization has an effect on FDI/FPI as the process of fostering private sector participation(More)
Tlv description of ~ccrrilctrica~ slructurc o f vcpctation canapics in prncrnl. rnrl i r l pnr~iculer, o r crops has today scvcral npplicarinr~s : 3 Crop s i~ i i t ~ la t i~ ig lilntlelc necrl to enter, ngrollornicnl vnriat~lcs. at a givcn (late. SIIC~ as lcnf arcas, op~icnl propcrlics. ... 2 Tlic clinrnc~cri~.atinn of crnp srnlclurc using non ~Ic<truci(More)
The aim of this paper is to provide exact inference in nite sample for econometric models whose likelihood function is intractable and require thereby simulation-based estimation method like Indirect Inference Method or E cient Method of Moments. To do so, we resort to the technique of Monte Carlo Tests which naturally applies to any simulable model. In(More)
This paper studies Wald-type tests in the presence of a possibly singular (asymptotic) covariance matrix, either in finite samples or asymptotically. Such difficulties occur in many statistical and econometric problems, such as causality and cointegration analysis in time series, (locally) redundant restrictions, (locally) redundant moment equations in GMM,(More)
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