The authors consider the problem of making asymptotically valid inference on structural parameters in instrumental variables regression with weak instruments. Using local-to-zero asymptotics, they derive the asymptotic distributions of likelihood ratio (LR) and Lagrange multiplier (LM) type...

In this paper we consider the problem of making inference on a structural parameter in instrumental variables regression when the instruments are only weakly correlated with the endogenous explanatory variables. Adopting a local-to-zero assumption as in Staiger and Stock (1994) on the...

We consider a deterministically trending dynamic time series model in which multiple changes in level, trend and error variance are modeled explicitly and the number but not the timing of the changes are known. Estimation of the model is made possible by the use of the Gibbs sampler. The...

Thesis (Ph. D.)--University of Washington, 1997