In this paper I present an alternative derivation of the asymptotic distribution of Kremers, Ericsson and Dolado's (1992) conditional ECM- based t-test for no-cointegration with a single prespecified cointegrating vector. This alternative distribution, which is identical to the distribution of...

We investigate confidence intervals and inference for the instrumental variables model with weak instruments. Wald-based confidence intervals perform poorly in that the probability they reject the null is far greater than their nominal size. In the worst case, Wald-based confidence intervals...

We estabilsh the relationships between certain Bayesian and classical approaches to instrumental variables regression. We determine the form of priors that lead to posteriors for structural paameters that have similar properties as classical 2SLS and LIML and in doing so provide some new insight...

In this paper we consider the problem of making inference on a structural parameter in instrumental variables regression when the instruments are only weakly correlated with the endogenous explanatory variables. Adopting a local-to-zero assumption as in Staiger and Stock (1994) on the...

We consider a deterministically trending dynamic time series model in which multiple changes in level, trend and error variance are modeled explicitly and the number but not the timing of the changes are known. Estimation of the model is made possible by the use of the Gibbs sampler. The...

It is now well known that standard asymptotic inference techniques for instrumental variable estimation perform very poorly in the presence of weak instruments. Specifically, standard asymptotic techniques give spuriously small standard errors, leading investigators to accept apparently tight...

In this paper we investigate in detail the relationship between models of cointegration between the current spot exchange rate, st, and the current forward rate, ft, and models of cointegration between the future spot rate, st+1, and ft and the implications of this relationship for tests of the...