This paper introduces a new identification‐ and singularity‐robust conditional quasi‐likelihood ratio (SR‐CQLR) test and a new identification‐ and singularity‐robust Anderson and Rubin (1949) (SR‐AR) test for linear and nonlinear moment condition models. Both tests are very fast to...

This paper considers tests and confidence sets (CSs) concerning the coefficient on the endogenous variable in the linear IV regression model with homoskedastic normal errors and one right-hand side endogenous variable. The paper derives a finite-sample lower bound function for the probability...

This paper introduces a new confidence interval (CI) for the autoregressive parameter (AR) in an AR(1) model that allows for conditional heteroskedasticity of a general form and AR parameters that are less than or equal to unity. The CI is a modification of Mikusheva's (2007a) modification of...

The local Whittle (or Gaussian semiparametric) estimator of long range dependence, proposed by Künsch (1987) and analyzed by Robinson (1995a), has a relatively slow rate of convergence and a finite sample bias that can be large. In this paper, we generalize the local Whittle estimator to...

This paper establishes the asymptotic distribution of extremum estimators when the true parameter lies on the boundary of the parameter space. The boundary may be linear, curved, and/or kinked. Typically the asymptotic distribution is a function of a multivariate normal distribution in models...