Three major regression-based seasonal unit root tests: the DHF test introduced by Dickey et al (1984), the HEGY test proposed by Hylleberg et al. (1990) and the Kunst test introduced by Kunst (1997) are compared. The regression model for the DHF test is a reduced form of that for the Kunst test....

We assess relative performance of three recently proposed instrument selection methods via a Monte Carlo study that investigates the finite sample behavior of the post-selection estimator of a simple linear IV model. Our results suggest that no one method dominates.

In the normal linear simultaneous equations model, we demonstrate a close relationship between two recently proposed methods of instrument selection by presenting a fundamental relationship between the two sets of canonical correlations upon which the methods are based.