This paper studies robustness of bootstrap inference methods for instrumental variable (IV)regression models. We consider test statistics for parameter hypotheses based on the IV estimatorand generalized method of trimmed moments (GMTM) estimator introduced by Cížek (2008, 2009),and compare...

We propose a nonparametric likelihood inference method for the integrated volatility under high frequency financial data. The nonparametric likelihood statistic, which contains the conventional statistics such as empirical likelihood and Pearson's chi-square as special cases, is not...