This paper applies classical exponential-family statistical theory to develop a unifying framework for testing structural parameters in the simultaneous equations model under the assumption of normal errors with known ...

This paper considers tests of the parameter of an endogenous variable in an instrumental variables regression model. The focus is on one-sided conditional t-tests. Theoretical and numerical work shows that the conditional ...

It is well-known that size adjustments based on bootstrapping the t-statistic perform poorly when instruments are weakly correlated with the endogenous explanatory variable. In this paper, we provide a theoretical proof ...

As Nelson and Startz [Nelson, C.R., Startz, R., 1990a. The distribution of the instrumental variable estimator and its t ratio when the instrument is a poor one. Journal of Business 63, S125-S140; Nelson, C.R., Startz, R., ...

Using a continuous-time price discovery model, we show that the standard econometric framework typically yields inconsistent estimates of the price discovery measures in the presence of market microstructure noise due the ...

This dissertation deals with the problem of making inference when there is weak identification in models of instrumental variables regression. More specifically we are interested in one-sided hypothesis testing for the ...

The instrumental variables (IV) method has recently become widely popular in applied econometrics. However, recent work in the literature has shown that if instruments do not hold the relevance and exogeneity conditions ...

The instrumental variables (IV) method has recently become widely popular in applied econometrics. However, recent work in the literature has shown that if instruments do not hold the relevance and exogeneity conditions ...

This work studies the hypothesis testing based on generalized method of moments (GMM) estimation given by instruments condition. The importance for the development of Economics lies on the fact that when identi cation is ...