This paper analyzes the properties of a class of estimators, tests, and confidence sets (CS's) when the parameters are not identified in parts of the parameter space. Specifically, we consider estimator criterion functions that are sample averages and are smooth functions of a parameter theta....

This paper analyzes the properties of a class of estimators, tests, and confidence sets (CS's) when the parameters are not identified in parts of the parameter space. Specifically, we consider estimator criterion functions that are sample averages and are smooth functions of a parameter theta....

This paper provides a set of results that can be used to establish the asymptotic size and/or similarity in a uniform sense of confidence sets and tests. The results are generic in that they can be applied to a broad range of problems. They are most useful in scenarios where the pointwise...

This paper determines the properties of standard generalized method of moments (GMM) estimators, tests, and confidence sets (CS's) in moment condition models in which some parameters are unidentified or weakly identified in part of the parameter space. The asymptotic distributions of GMM...

This paper determines the properties of standard generalized method of moments (GMM) estimators, tests, and confidence sets (CS's) in moment condition models in which some parameters are unidentified or weakly identified in part of the parameter space. The asymptotic distributions of GMM...

This paper analyzes the properties of standard estimators, tests, and confidence sets (CS's) in a class of models in which the parameters are unidentified or weakly identified in some parts of the parameter space. The paper also introduces methods to make the tests and CS's robust to such...

Reduced rank regression (RRR) models with time varying heterogeneity are considered. Standard information criteria for selecting cointegrating rank are shown to be weakly consistent in semiparametric RRR models in which the errors have general nonparametric short memory components and shifting...

Some convenient limit properties of usual information criteria are given for cointegrating rank selection. Allowing for a nonparametric short memory component and using a reduced rank regression with only a single lag, standard information criteria are shown to be weakly consistent in the choice...

Standard tests and confidence sets in the moment inequality literature are not robust to model misspecification in the sense that they exhibit spurious precision when the identified set is empty. This paper introduces tests and confidence sets that provide correct asymptotic inference for a...

This paper considers tests and confidence sets (CS's) concerning the coefficient on the endogenous variable in the linear IV regression model with homoskedastic normal errors and one right-hand side endogenous variable. The paper derives a finite-sample lower bound function for the probability...