We suggest improved tests for cointegration rank in the vector autoregressive (VAR) model and develop asymptotic distribution theory and local power results. The tests are (quasi-)likelihood ratio tests based on a Gaussian likelihood, but as usual the asymptotic results do not require normally...

With the aim of improving the quality of asymptotic distributional approximations for nonlinear functionals of nonparametric estimators, this article revisits the large-sample properties of an important member of that class, namely a kernel-based weighted average derivative estimator. Asymptotic...

This paper is concerned with inference on the coefficient on the endogenous regressor in a linear instrumental variables model with a single endogenous regressor, nonrandom exogenous regressors and instruments, and i.i.d. errors whose distribution is unknown. It is shown that under mild...