We show that the sensitivity of the limit distribution of commonly used GMM statistics to weak and many instruments results from superfluous elements in the higher order expansion of these statistics. When the instruments are strong and their number is small, these elements are of higher order...

We extend the novel pivotal statistics for testing the parameters in the instrumental variables regression model. We show that these statistics result from a decomposition of the Anderson-Rubin statistic into two independent pivotal statistics. The first statistic is a score statistic that tests...

We show that the limiting distributions of subset generalizations of the weak instrument robust instrumental variable statistics are boundedly similar when the remaining structural parameters are estimated using maximum likelihood. They are bounded from above by the limiting distributions which...

We show that inference on risk premia in linear factor models that is based on the Fama-MacBeth and GLS risk premia estimators is misleading when the ß’s are small and/or the number of assets is large. We propose some novel statistics that remain trustworthy in these cases. The inadequacy of...