In the normal linear simultaneous equations model, we demonstrate a close relationship between two recently proposed methods of instrument selection by presenting a fundamental relationship between the two sets of canonical correlations upon which the methods are based.

We assess relative performance of three recently proposed instrument selection methods via a Monte Carlo study that investigates the finite sample behavior of the post-selection estimator of a simple linear IV model. Our results suggest that no one method dominates.

The Wishart distribution has long been a useful tool for modeling covariance structures. According to Gyndikin’s theorem, the degrees of freedom (df) for a Wishart distribution can be any real number belonging to the Gyndikin set, either integer-valued or fractional. However, the fractional-df...

The objective of this paper is to investigate the relationships between Spanish electricity spot prices and the US dollar/Euro (USD/Euro) exchange rate during the period 2005-2007, taking into account the study of the association between dollar and oil prices, in order to better understand the...

We explore a periodogram-based unit root test that is invariant to nonzero means and invariant to nuisance parameters in the error series. We present modifications to account for trends and deterministic seasonal components.