SUMMARY We calculate, by simulations, numerical asymptotic distribution functions of likelihood ratio tests for fractional unit roots and cointegration rank. Because these distributions depend on a real‐valued parameter b which must be estimated, simple tabulation is not feasible. Partly owing...

Offering a unifying theoretical perspective not readily available in any other text, this innovative guide to econometrics uses simple geometrical arguments to develop students' intuitive understanding of basic and advanced topics, emphasizing throughout the practical applications of modern...

White (1980) marked the beginning of a new era for inference in econometrics. It introduced the revolutionary idea of inference that is robust to heteroskedasticity of unknown form, an idea that was very soon extended to other forms of robust inference and also led to many new estimation...

We study several methods of constructing confidence sets for the coefficient of the single right-hand-side endogenous variable in a linear equation with weak instruments. Two of these are based on conditional likelihood ratio (CLR) tests, and the others are based on inverting t statistics or the...

[The original version of this paper appeared as a University of California San Diego working paper in 1990 but has since disappeared from the web. This version includes a new appendix.] This paper provides tables of critical values for some popular tests of cointegration and unit roots. Although...

We consider several issues related to Durbin-Wu-Hausman tests; that is, tests based on the comparison of two sets of parameter estimates. We first review a number of results about these tests in linear regression models, discuss what determines their power, and propose a simple way to improve...

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...

The cluster robust variance estimator (CRVE) relies on the number of clusters being large. A shorthand "rule of 42'' has emerged, but we show that unbalanced clusters invalidate it. Monte Carlo evidence suggests that rejection frequencies are higher for datasets with 50 clusters proportional to...

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 test. The "AR confidence sets" that result have correct coverage under...