In this paper we provide further results on the properties of the IV estimator in the presence of weak instruments. We begin by formalizing the notion of weak identification within the local-to-zero asymptotic framework of Staiger and Stock (1997), and deriving explicit analytical formulae for...

This paper considers dynamic time series binary choice models. It shows in a time series setting the validity of the dynamic probit likelihood procedure when lags of the dependent binary variable are used as regressors, and it establishes the asymptotic validity of Horowitz' smoothed maximum...

My paper proposes a new method to estimate duration models. In particular, it shows that the integrated hazard yields moment functions that solve the following, recognized estimation problems: <br> 1. Van den Berg notes in the forthcoming Handbook of Econometrics that we need panel data for robust...

Breeden, Gibbons and Litzenberger (1989), and Lamont (1999), use "economic tracking portfolios" to forecast macroeconomic data. Tracking portfolios are constructed to reflect market expectations and reveal the impact of news. However, these papers, as well as many related studies which examine...

This paper is about identification and estimation in a triangular nonparametric structural model with instrumental variables and non-additive errors. Identification and estimation is based on a control function consisting of the conditional distribution function of the endogenous variable given...