In this paper, I propose a simple methodology for inferring the correlation between permanent and transitory shocks in … unidentified unobserved components (UC) models, where the correlation is not identified. However, I show that there is an upper … bound of the correlation implied from the unrestricted ARIMA reduced form. I apply the proposed methodology to GDP data of …

regressions (PRs). Focusing on the direct relationship between the degree of cross-correlation of covariates and the estimation …

This paper analyzes the problem of weak instruments on identification, estimation, and inference in a simple … nonparametric model of a triangular system. The paper derives a necessary and sufficient rank condition for identification, based on … which weak identification is established. Then nonparametric weak instruments are defined as a sequence of reduced …

data. Our analysis considers various identification schemes and several variants of LP and VAR estimators. A clear bias …