This paper applies some general concepts in decision theory to a linear panel data model. A simple version of the model is an autoregression with a separate intercept for each unit in the cross section, with errors that are independent and identically distributed with a normal distribution....

This paper considers the problem of conducting inference on the regression coefficient in a bivariate regression model with a highly persistent regressor. Gaussian asymptotic power envelopes are obtained for a class of testing procedures that satisfy a conditionality restriction. In addition,...

In this paper, we propose a fix to the size distortions of tests for structural parameters in the simultaneous equations model by computing critical value functions based on the conditional distribution of test statistics. The conditional tests can then be used to construct informative...