Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models
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Cited in
(only showing first 100 items - show all)- Identification-robust simulation-based inference in joint discrete/continuous models for energy markets
- Foundations of statistical inference based on numerical roots of robust pivot functions
- Empirically relevant critical values for hypothesis tests: A bootstrap approach
- An alternative approach to obtaining Nagar-type moment approximations in simultaneous equation models
- Foundations of multivariate inference using modern computers
- The indirect continuous-GMM estimation
- Linear model IV estimation when instruments are many or weak
- A test of the long memory hypothesis based on self-similarity
- The asymptotic properties of GMM and indirect inference under second-order identification
- On bootstrap inconsistency and Bonferroni-based size-correction for the subset Anderson-Rubin test under conditional homoskedasticity
- The bootstrap and hypothesis tests in econometrics
- Markovian processes, two-sided autoregressions and finite-sample inference for stationary and nonstationary autoregressive processes
- Simulation based finite and large sample tests in multivariate regressions
- Bayesian bootstrap multivariate regression
- Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations
- Combining p-values to test for multiple structural breaks in cointegrated regressions
- The empirical saddlepoint estimator
- Testing for principal component directions under weak identifiability
- Statistical development of animal density estimation using random encounter modelling
- Dynamic panels with MIDAS covariates: nonlinearity, estimation and fit
- Editors' introduction. Special issue in honor of Jean-Marie Dufour on identification, inference, and causality
- Impossible inference in econometrics: theory and applications
- Testing identification strength
- Inference in second-order identified models
- Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions: invariance and finite-sample distributional theory
- Monte Carlo two-stage indirect inference (2SIF) for autoregressive panels
- Regression discontinuity designs, white noise models, and minimax
- Projection-based inference with particle swarm optimization
- Optimal two-sided tests for instrumental variables regression with heteroskedastic and autocorrelated errors
- False confidence, non-additive beliefs, and valid statistical inference
- Weak identification in probit models with endogenous covariates
- Subsampling tests of parameter hypotheses and overidentifying restrictions with possible failure of identification
- Some properties of tests for parameters that can be arbitrarily close to being unidentified
- Inverting the indirect -- the ellipse and the boomerang: visualizing the confidence intervals of the structural coefficient from two-stage least squares
- Bonferroni-based size-correction for nonstandard testing problems
- Exact optimal inference in regression models under heteroskedasticity and non-normality of unknown form
- Estimation uncertainty in structural inflation models with real wage rigidities
- Near exogeneity and weak identification in generalized empirical likelihood estimators: many moment asymptotics
- Tests based on t-statistics for IV regression with weak instruments
- Identification robust inference in cointegrating regressions
- Tests with correct size when instruments can be arbitrarily weak
- How mathematical impossibility changed welfare economics: a history of Arrow's impossibility theorem
- MMC techniques for limited dependent variables models: implementation by the branch-and-bound algorithm
- Alternative approximations of the bias and MSE of the IV estimator under weak identification with an application to bias correction
- The zero-information-limit condition and spurious inference in weakly identified models
- Boundedly pivotal structural change tests in continuous updating GMM with strong, weak identification and completely unidentified cases
- On size and power of heteroskedasticity and autocorrelation robust tests
- Further results on projection-based inference in IV regressions with weak, collinear or missing instruments
- Generalizing weak instrument robust IV statistics towards multiple parameters, unrestricted covariance matrices and identification statistics
- Weak identification in the ESTAR model and a new model
- GMM estimation and uniform subvector inference with possible identification failure
- Rank tests for instrumental variables regression with weak instruments
- A smoothed least squares estimator for threshold regression models
- Symmetry-based inference in an instrumental variable setting
- Generalized empirical likelihood tests in time series models with potential identification failure
- Examining bias in estimators of linear rational expectations models under misspecification
- Weak identification robust tests in an instrumental quantile model
- Quantile regression on quantile ranges -- a threshold approach
- Confidence sets for partially identified parameters that satisfy a finite number of moment inequalities
- Efficient forecast tests for conditional policy forecasts
- A new projection-type split-sample score test in linear instrumental variables regression
- Testing the adequacy of conventional asymptotics in GMM
- Bootstrap validity for the score test when instruments may be weak
- Tests of risk premia in linear factor models
- Exact and asymptotic tests for possibly non-regular hypotheses on stochastic volatility models
- VALIDITY OF SUBSAMPLING AND “PLUG-IN ASYMPTOTIC” INFERENCE FOR PARAMETERS DEFINED BY MOMENT INEQUALITIES
- OPTIMAL INVARIANT INFERENCE WHEN THE NUMBER OF INSTRUMENTS IS LARGE
- ADMISSIBLE INVARIANT SIMILAR TESTS FOR INSTRUMENTAL VARIABLES REGRESSION
- Estimation and inference with a (nearly) singular Jacobian
- GENERALIZED EMPIRICAL LIKELIHOOD ESTIMATORS AND TESTS UNDER PARTIAL, WEAK, AND STRONG IDENTIFICATION
- Finite-sample distribution-free inference in linear median regressions under heteroscedasticity and non-linear dependence of unknown form
- Subset hypotheses testing and instrument exclusion in the linear IV regression
- Bootstrap inference in a linear equation estimated by instrumental variables
- Asymptotic size and a problem with subsampling and with the \(m\) out of \(n\) bootstrap
- Testing hypotheses on the unidentifiable structural parameters in the classical ``errors-in-variables model with application to Friedman's permanent income model
- A MONTE CARLO COMPARISON OF VARIOUS ASYMPTOTIC APPROXIMATIONS TO THE DISTRIBUTION OF INSTRUMENTAL VARIABLES ESTIMATORS
- Testing joint hypotheses when one of the alternatives is one-sided
- Inference on Structural Parameters in Instrumental Variables Regression with Weak Instruments
- Detecting lack of identification in GMM
- Conditional inference for possibly unidentified structural equations
- Credibility of confidence sets in nonstandard econometric problems
- On nonparametric inference in the regression discontinuity design
- Frequentist inference in weakly identified dynamic stochastic general equilibrium models
- Robust inference in nonlinear models with mixed identification strength
- Bootstrap confidence sets with weak instruments
- Identification and inference in a simultaneous equation under alternative information sets and sampling schemes
- Confidence sets based on inverting Anderson-Rubin tests
- IDENTIFICATION ROBUST INFERENCE FOR MOMENTS-BASED ANALYSIS OF LINEAR DYNAMIC PANEL DATA MODELS
- ROBUST INFERENCE IN STRUCTURAL VECTOR AUTOREGRESSIONS WITH LONG-RUN RESTRICTIONS
- GEL statistics under weak identification
- Maximum likelihood estimation and uniform inference with sporadic identification failure
- ON THE ASYMPTOTIC SIZE DISTORTION OF TESTS WHEN INSTRUMENTS LOCALLY VIOLATE THE EXOGENEITY ASSUMPTION
- Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments
- Testing under weak identification with conditional moment restrictions
- Testing Covariance Stationarity
- OLS and IV estimation of regression models including endogenous interaction terms
- The polar confidence curve for a ratio
- Finite-sample generalized confidence distributions and sign-based robust estimators in median regressions with heterogeneous dependent errors
- Exact and asymptotic identification-robust inference for dynamic structural equations with an application to New Keynesian Phillips Curves
- Location properties of point estimators in linear instrumental variables and related models
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