We study the identification and estimation of panel dynamic simultaneous equations models. We show that the presence of time-persistent individual-specific effects does not lead to changes in the identification conditions of traditional Cowles Commission dynamic simultaneous equations models....

Many empirical studies specify outcomes as a linear function of endogenous regressors when conducting instrumental variable (IV) estimation. We show that tests for treatment effects, selection bias, and treatment effect heterogeneity are biased if the true relationship is non-linear. These...

We examine instrumental variables estimation in situations where the instrument is only observed for a sub-sample, which is fairly common in empirical research. Typically, researchers simply limit the analysis to the sub-sample where the instrument is non-missing. We show that when the...

Many empirical studies specify outcomes as a linear function of endogenous regressors when conducting instrumental variable (IV) estimation. We show that tests for treatment effects, selection bias, and treatment effect heterogeneity are biased if the true relationship is non-linear. These...

Rao's (1948) seminal paper introduced a fundamental principle of testing based on the score function and the score test has local optimal properties. When the assumed model is misspecified, it is well known that Rao's score (RS) test loses its optimality. A model could be misspecified in a...

In this study, we consider the test statistics that can be written as the sample average of data and derive their limiting distribution under the maximum likelihood (ML) and the quasi-maximum likelihood (QML) frameworks. We first generalize the asymptotic variance formula suggested in Pierce...

In this study, we propose a Rao's score (RS) statistic (Lagrange multiplier (LM) statistic) to test for endogeneity of the spatial weights matrix in a spatial autoregressive model. To achieve this, we start with a spatial autoregressive model with an acceptable form for the generating process...

The delta method that consists of a Taylor approximation can be used to determine the asymptotic variance and distribution of test statistics. In an alternative approach, the test statistic can be combined with some estimating equations in the M-estimation framework for the purpose of deriving...