A unified theory of estimation and inference is developed for an autoregressive process with root in (-É, É) that includes the stationary, local-to-unity, explosive and all intermediate regions. The discontinuity of the limit distribution of the t-statistic outside the stationary region and...

A unified theory of estimation and inference is developed for an autoregressive process with root in (-∞, ∞) that includes the stationary, local-to-unity, explosive and all intermediate regions. The discontinuity of the limit distribution of the t-statistic outside the stationary region and...

This paper studies the limiting behavior of the test for instrument exogeneity in linear models when there is uncertainty about the strength of the identification signal. We consider the test for conditional moment restrictions with an expanding set of constructed instruments. We establish the...

Binned scatter plots are a powerful statistical tool for empirical work in the social, behavioral, and biomedical sciences. Available methods rely on a quantile-based partitioning estimator of the conditional mean regression function to primarily construct flexible yet interpretable...

Binned scatter plots are a powerful statistical tool for empirical work in the social, behavioral, and biomedical sciences. Available methods rely on a quantile-based partitioning estimator of the conditional mean regression function to primarily construct flexible yet interpretable...

We develop a distribution regression model under endogenous sample selection. This model is a semi-parametric generalization of the Heckman selection model. It accommodates much richer effects of the covariates on outcome distribution and patterns of heterogeneity in the selection process, and...