The existence of a uniformly consistent estimator for a particular parameter is well-known to depend on the uniform continuity of the functional that defines the parameter in terms of the model. Recently, Pötscher (Econometrica, 70, pp 1035 - 1065) showed that estimator risk may be bounded...

The existence of a uniformly consistent estimator for a particular parameter is well-known to depend on the uniform continuity of the functional that defines the parameter in terms of the model. Recently, Potscher (Econometrica, 70, pp 1035 - 1065) showed that estimator risk may be bounded below...

The properties of the two stage least squares (TSLS) and limited information maximum likelihood (LIML) estimators in panel data models where the observables are affected by common shocks, modelled through unobservable factors, are studied for the case where the time series dimension is fixed. We...

This paper studies the effects of common shocks on the OLS estimators of the slopes' parameters in linear panel data models. The shocks are assumed to affect both the errors and some of the explanatory variables. In contrast to existing approaches, which rely on using results on martingale...

We derive general formulae for the asymptotic distribution of the LIML estimator for the coefficients of both endogenous and exogenous variables in a partially identified linear structural equation. We extend previous results of Phillips (1989) and Choi and Phillips (1992) where the focus was on...

Nelson and Startz (Econometrica, 58, 1990), Maddala and Jong (Econometrica, 60, 1992) and Wolgrom (Econometrica, 69, 2001) have shown that the density of the two-stage least squares estimator may be bimodal in a just identified structural equation. This paper further investigates the conditions...

Average exponential <italic>F</italic> tests for structural change in a Gaussian linear regression model and modifications thereof maximize a weighted average power that incorporates specific weighting functions to make the resulting test statistics simple. Generalizations of these tests involve the numerical...