We propose exact tests and confidence sets for various structural models typically estimated by IV methods, such as models with unobserved regressors, which remain valid despite the presence of identification problems or weak instruments. Two approaches are considered: (1) an instrument...

A generalized predictive testing procedure for structural stability in nonlinear dynamic simultaneous equations models is presented. It has several attractive features: (1) the tests are based on easy-to-compute predicted residuals; (2) the prediction subsample can be arbitrarily small; (3) only...

In this paper, finite-sample nonparametric tests of conditional independence and random walk are extended to allow for an unknown drift parameter. The tests proposed are based on simultaneous inference methods and remain exact in the presence of general forms of feedback, nonnormality and...