We propose the double robust Lagrange multiplier (DRLM) statistic for testing hypotheses specified on the minimizer of the population continuous updating objective function. The (bounding) χ2 limiting distribution of the DRLM statistic is robust to both misspecification and weak identification,...

Star variables, such as potential output and the neutral real interest rate, are fundamental to economic policymaking but challenging to identify due to their latent nature. Buncic, Pagan, and Robinson (2023) highlight the difficulty of identifying star variables within short macroeconomic...

This paper proposes a subsampling inference method for extreme conditional quantiles based on a self-normalized version of a local estimator for conditional quantiles, such as the local linear quantile regression estimator. The proposed method circumvents difficulty of estimating nuisance...