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This paper considers two-sided tests for the parameter of an endogenous variable in an instrumental variable (IV) model with heteroskedastic and autocorrelated errors. We develop the finite-sample theory of weighted-average power (WAP) tests with normal errors and a known long-run variance. We...
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This paper considers a moderately explosive autoregressive(1) process with drift where the autoregressive root approaches unity from the right at a certain rate. We first develop a test for the null of moderate explosiveness under independent and identically distributed errors. We show that the...
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This paper develops a consistent heteroskedasticity robust Lagrange Multiplier (LM) type specification test for semiparametric conditional mean models. Consistency is achieved by turning a conditional moment restriction into a growing number of unconditional moment restrictions using series...
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