In this paper, we study the asymptotic behavior of specification tests in conditional moment restriction models under first-order local identification failure with dependent data. More specifically, we obtain conditions under which the conventional specification test for conditional moment...

We present a simple way to estimate the effects of changes in a vector of observable variables X on a limited dependent variable Y when Y is a general nonseparable function of X and unobservables. We treat models in which Y is censored from above or below or potentially from both. The basic idea...

This paper studies robustness of bootstrap inference methods for instrumental variable regression models. In particular, we compare the uniform weight and implied probability bootstrap approximations for parameter hypothesis test statistics by applying the breakdown point theory, which focuses...