This paper generalizes Nagar's (1959) approximation to the finite sample mean squared error (MSE) of the instrumental variables (IV) estimator to the case in which the errors possess an elliptical distribution whose moments exist up to infinite order. This allows for types of excess kurtosis...

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...

In this paper, we develop an info-metric framework for testing hypotheses about structural instability in nonlinear, dynamic models estimated from the information in population moment conditions. Our methods are designed to distinguish between three states of the world: (i) the model is...

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...