The bootstrap is a statistical technique used more and more widely in econometrics. While it is capable of yielding very reliable inference, some precautions should be taken in order to ensure this. Two “Golden Rules” are formulated that, if observed, help to obtain the best the bootstrap...

Economists are often interested in the coefficient of a single endogenous explanatory variable in a linear simultaneous‐equations model. One way to obtain a confidence set for this coefficient is to invert the Anderson–Rubin (AR) test. The AR confidence sets that result have correct coverage...

In many, if not most, econometric applications, it is impossible to estimate consistently the elements of the white-noise process or processes that underlie the DGP. A common example is a regression model with heteroskedastic and/or autocorrelated disturbances,where the heteroskedasticity and...