There are many economic parameters that depend on nonparametric first steps. Examples include games, dynamic discrete choice, average exact consumer surplus, and treatment effects. Often estimators of these parameters are asymptotically equivalent to a sample average of an object referred to as...

Pretesting for exogeneity has become a routine in many empirical applications involving instrumental variables (IVs) to decide whether the ordinary least squares (OLS) or the two-stage least squares (2SLS) method is appropriate. Guggenberger (2010) shows that the second-stage t-test – based on...

Pretesting for exogeneity has become a routine in many empirical applications involving instrumental variables to decide whether the ordinary least squares or the two-stage least squares (2SLS) method is appropriate. Guggenberger (2010) shows that the second-stage t-test – based on the outcome...

A fully-fledged alternative to Two-Stage Least-Squares (TSLS) inference is developed for general linear models with endogenous regressors. This alternative approach does not require the adoption of external instrumental variables. It generalizes earlier results which basically assumed all...

Intermittently Singapore suffers from severe air pollution in periods of intense forest and peatland fires on neighboring South-Asian islands. A recent American Economic Review article modeled the causal relationships between fire intensity in Indonesia and air pollution (PSI) in Singapore, and...

Bootstrap procedures based on instrumental variable (IV) estimates or t-statistics are generally invalid when the instruments are weak. The bootstrap may even fail when applied to identification-robust test statistics. For subvector inference based on the Anderson-Rubin (AR) statistic, Wang and...

Pretesting for exogeneity has become a routine in many empirical applications involving instrumental variables (IVs) to decide whether the ordinary least squares (OLS) or the two-stage least squares (2SLS) method is appropriate. Guggenberger (2010) shows that the second-stage t-test– based on...

Pretesting for exogeneity has become a routine in many empirical applications involving instrumental variables to decide whether the ordinary least squares or the two-stage least squares (2SLS) method is appropriate. Guggenberger (2010) shows that the second-stage t-test – based on the outcome...

Pretesting for exogeneity has become a routine in many empirical applications involving instrumental variables (IVs) to decide whether the ordinary least squares (OLS) or the two-stage least squares (2SLS) method is appropriate. Guggenberger (2010) shows that the second-stage t-test – based on...

In simple static linear simultaneous equation models the empirical distributions of IV and OLS are examined under alternative sampling schemes and compared with their first-order asymptotic approximations. We demonstrate that the limiting distribution of consistent IV is not affected by...