Despite much recent work on the finite-sample properties of estimators and tests for linear regression models with a single endogenous regressor and weak instruments, little attention has been paid to tests for overidentifying restrictions in these circumstances. We study asymptotic tests for...

What is Statistics? Opinions vary. In fact, there is a continuous spectrum of attitudes toward statistics ranging from pure theoreticians, proving asymptotic efficiency and searching for most powerful tests, to wild practitioners, blindly reporting p-values and claiming statistical significance...

Consider a finite state irreducible Markov reward chain. It is shown that there exist simulation estimates and confidence intervals for the expected first passage times and rewards as well as the expected average reward, with 100% coverage probability. The length of the confidence intervals...

When the behaviour of a specific hypothesis test statistic is studied by a Monte Carlo experiment, the usual way to describe its quality is by giving the empirical level of the test. As an alternative to this procedure, we use the empirical distribution of the obtained p-values and exploit its...

We review tests of null hypotheses that consist of many subsidiary null hypotheses, including tests that have not received much attention in the econometrics literature. We study test performance in the context of specification testing for linear regressions based on a Monte Carlo study....

As I document using evidence from a journal data repository that I manage, the datasets used in empirical work are getting larger. When we use very large datasets, it can be dangerous to rely on standard methods for statistical inference. In addition, we need to worry about computational issues....

In this paper we consider the use of bootstrap methods to compute interval estimates and perform hypothesis tests for decomposable measures of economic inequality. The bootstrap potentially represents a significant gain over available asymptotic intervals because it provides an easily...