In many applications, a researcher must select an instrument vector from a candidate set of instruments. If the ultimate objective is to perform inference about the unknown parameters using conventional asymptotic theory, then we argue that it is desirable for the chosen instrument vector to...

Abstract We provide formulae for calculating approximate p-values for the non-standard asymptotic null distributions of a variety of tests used for detecting multiple structural change in a wide range of models. Our approximations are based on simulated quantiles obtained from 100,000...

Hall et al. (2007) propose a method for moment selection based on an information criterion that is a function of the entropy of the limiting distribution of the Generalized Method of Moments (GMM) estimator. They establish the consistency of the method subject to certain conditions that include...

A generalized predictive testing procedure for structural stability in nonlinear dynamic simultaneous equations models is presented. It has several attractive features: (1) the tests are based on easy-to-compute predicted residuals; (2) the prediction subsample can be arbitrarily small; (3) only...