This paper considers tests in an instrumental variables (IVs) regression model with IVs that may be weak. Tests that have near-optimal asymptotic power properties with Gaussian errors for weak and strong IVs have been determined in Andrews, Moreira, and Stock (2006a). In this paper, we seek...

To test the regression coefficients of linear models, the conventional F-test has been suggested. This paper investigates the performance of the generalized F-test for testing regression coefficients in high dimensional linear regression under the case of p/n⟶ρ(0ρ1). The asymptotic normality...

The testing of a computing model for a stationary time series is a standard task in statistics. When a parametric approach is used to model the time series, the question of goodness-of-fit arises. In this paper, we employ the empirical likelihood for an a-mixing process and formulate a statistic...