We suggest improved tests for cointegration rank in the vector au- toregressive (VAR) model and develop asymptotic distribution theory and local power results. The tests are (quasi-)likelihood ratio tests based on a Gaussian likelihood, but of course the asymptotic results apply more generally....

We provide new and computationally attractive methods, based on jackknifing by cluster, to obtain cluster-robust variance matrix estimators (CRVEs) for linear regres- sion models estimated by least squares. These estimators have previously been com- putationally infeasible except for small...

We study large-sample properties of likelihood ratio tests of the unit root hypothesis in an autoregressive model of arbitrary, finite order. Earlier research on this testing problem has developed likelihood ratio tests in the autoregressive model of order one, but resorted to a plug-in approach...

This paper is concerned with inference about an unidentified linear functional, L(g), where the function g satisfies the relation Y=g(x) + U; E(U/W) = 0. In this relation, Y is the dependent variable, X is a possibly endogenous explanatory variable, W is an instrument for X, and U is an...

Many studies have estimated the effect of taxes on taxable income. To account for nonlinear taxes these studies either use instrumental variables approaches that are not fully consistent or impose strong functional form assumptions. None allow for general heterogeneity in preferences. In this...

This paper is concerned with inference about an unidentified linear function, L(g), where the function g satisfies the relation Y=g(X)+U; E(U |W)=0. In this relation, Y is the dependent variable, X is a possibly endogenous explanatory variable, W is an instrument for X and U is an unobserved...

Given the key role of the taxable income elasticity in designing an optimal tax system there are many studies attempting to estimate this elasticity. To account for nonlinear taxes these studies either use instrumental variables approaches that are not fully consistent, or impose strong...

We provide general compactness results for many commonly used parameter spaces in nonparametric estimation. We consider three kinds of functions: (1) functions with bounded domains which satisfy standard norm bounds, (2) functions with bounded domains which do not satisfy standard norm bounds,...

The taxable income elasticity is a key parameter for predicting the e?ect of tax reform or designing an income tax. Bunching at kinks and notches in a single budget set have been used to estimate the taxable income elasticity. We show that when the heterogeneity distribution is unrestricted the...