This paper fixes size distortions of tests for structural parameters in the simultaneous equations model by computing critical value functions based on the conditional distribution of test statistics. The conditional tests can then be used to construct informative confidence regions for the...

This paper studies linear time‐series regressions with many regressors. Weak exogeneity is the most used identifying assumption in time series. Weak exogeneity requires the structural error to have zero conditional expectation given present and past regressor values, allowing errors to...

Critical values from the normal distribution can be used irrespective of the treatment of the deterministic terms. Simulations show that the estimates are precise, and the t-test has good size in the parameter region where the least squares estimates usually yield distorted inference

This paper considers instrumental variable regression with a single endogenous variable and the potential presence of weak instruments. I construct confidence sets for the coefficient on the single endogenous regressor by inverting tests robust to weak instruments. I suggest a numerically simple...

The purpose of this paper is to receive a second order expansion of the t-statistic in AR(1) model in local to unity asymptotic approach. I show that Hansen's (1998) method for confidence set construction achieves a second order improvement in local to unity asymptotic approach compared with...