This paper considers tests of the parameter on endogenous variables in an instrumental variables regression model. The focus is on determining tests that have certain optimal power properties. We start by considering a model with normally distributed errors and known error covariance matrix. We...

To obtain consistency and asymptotic normality, a generalized method of moments (GAM) estimator typically is defined to be an approximate global minimizer of a GAM criterion function. To compute such an estimator, however, can be problematic because of the difficulty of global optimization. To...

This paper considers inference in a broad class of nonregular models. The models considered are nonregular in the sense that standard test statistics have asymptotic distributions that are discontinuous in some parameters. It is shown in Andrews and Guggenberger (2009a) that standard fixed...

This paper establishes a central limit theorem (CLT) for empirical processes indexed by smooth functions. The underlying random variables may be temporally dependent and non-identically distributed. In particular, the CLT holds for near epoch dependent (i.e., functions of mixing processes)...

This paper presents conditions under which a quadratic form based on a <italic>g-</italic>inverted weighting matrix converges to a chi-square distribution as the sample size goes to infinity. Subject to fairly weak underlying conditions, a necessary and sufficient condition is given for this result. The result...

This article considers a mean zero stationary first-order autoregressive (AR) model. It is shown that the least squares estimator and t statistic have Cauchy and standard normal asymptotic distributions, respectively, when the AR parameter rho_n is very near to one in the sense that 1 - rho_n =...