The author derives the information-matrix test, suggested by H. White (1982), for the normal fixed-regressor linear model, and shows that the statistic decomposes asymptotically into the sum of three independent quadratic forms. One of these is White's general test for heteroscedasticity and the...

Instrumental variables estimation is widely applied in econometrics. To implement the method, it is necessary to specify a vector of instruments. In this paper, it is argued that there are compelling reasons to use the data for instrument selection, but that it is desirable to ensure the...

This paper generalizes Nagar's (1959) approximation to the finite sample mean squared error (MSE) of the instrumental variables (IV) estimator to the case in which the errors possess an elliptical distribution whose moments exist up to infinite order. This allows for types of excess kurtosis...

We propose a new Information Criterion for Impulse Response Function Matching estimators of the parameters of a structural model based on classical Minimum Distance estimation. The advantages of our procedure are that: (i) it improves the efficiency of the estimates of the model's deep...