In this paper, we propose the use of bootstrapping methods to obtain correct critical values for dating breaks. Following the procedure proposed in Banerjee, Lazarova and Urga (1998), we consider the case of estimating a system with two or more marginal processes and a conditional process....

This paper considers the nonlinear regression with integrated regressors that are contemporaneously correlated with the regression error. We, in particular, establish the consistency and derive the limiting distribution of the nonlinear least squares estimator under such endogeneity for the...

This paper analyzes conditions under which various k-class estimators are asymptotically normal in a simultaneous equations framework with many weak instruments. In particular, our paper extends the many instruments asymptotic normality results obtained by Morimune (1983), Bekker (1994), Angrist...

We consider a semiparametric log periodogram regression estimation of memory parameter $d$ for non-stationary fractional time series using wavelet transformation. We propose wavelet-based log periodogram regression estimator, and obtain the asymptotic mean squared error, consistency and...

This paper develops a dynamic stochastic model to examine the joint patent application and renewal behavior under an international patent protection regime. This framework makes it possible to utilize both the cross-sectional (multi-country filing) and the time-series (patent renewal) dimensions...

This paper develops Wald-type tests for general (possibly nonlinear) restrictions in the context of a weakly-identified heteroskedastic IV regression. In particular, it is first shown that, in a framework with many weak instruments, consistency and asymptotic normality can be obtained when...

This paper considers models with time-varying individual effects (also known as factor models). The paper extends Ahn, Lee and Schmidt, Journal of Econometrics, 2001 and Bai, Econometrica, 2003 to allow a parametric function of time for the time factor. It provides a fixed-effects treatment of...