We show that the higher order biases of instrumental variable statistics in the strong instrument case indicate the degeneracy of the first order asymptotic distributions of these statistics under weak or many instrument asymptotics. We express the higher order approximations using an estimator...

We construct higher order expressions for Wald and Lagrange multiplier (LM) GMM statistics that are based on 2step and continuous updating estimators (CUE). We show that the sensitivity of the limit distribution to weak and many instruments results from superfluous elements in the higher order...

This paper concerns a new statistical approach to instrumental variables (IV) method for nonparametric structural models with additive errors. A general identifying condition of the model is proposed, based on richness of the space generated by marginal discretizations of joint density...

The aim of this article is to characterize the saturation spaces that appear in inverse problems. Such spaces are defined for a regularization method and the rate of convergence of the estimation part of the inverse problem depends on their definition. Here we prove that it is possible to define...

In this paper, I develop a quasi empirical likelihood estimator that has good finite-sample properties when there are many moment conditions. I show that the quasi empirical likelihood estimator, which uses semiparametric efficient estimation, is an approximation to the empirical likelihood...

In this paper we use optimal-instrument and new finite-sample methods to test the empirical relevance of the New Keynesian Phillips curve (NKPC) equation. Unlike generalized method of moments-based methods, these generalized Anderson-Rubin tests are immune to the presence of weak instruments,...

The fact that weak instruments lead to spurious inference is now widely recognized. In this paper we ask whether spurious inference occurs more generally in weakly identified models. To distinguish between models where spurious inference will occur from those where it does not, we introduce the...

In this paper we analyze GMM with semi-weak instruments. This case includes the standard GMM and the nearly-weak GMM. In the nearly-weak GMM the correlation between the instruments and the first order conditions decline at a slower rate than root T. We find an important difference between the...

Theoretical literature in finance has shown that quantifying the risk of financial time series amounts to measuring their expected shortfall, also known as tail Value at Risk. Unfortunately, little empirical work has been devoted to the problem of modeling and inference of such risk measures...

We provide an analytical and flexible framework to evaluate incentive options. Our model not only considers vesting periods and trading and hedging restrictions on the holders, but also specifically includes provisions of reloading and resetting to capture the fact that firms tend to grant more...