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...

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...

Granger (1980) summarizes his personal viewpoint on testing for causality, and outlines what he considers to be a useful operational version of his original definition of causality (Granger (1969)), which he notes was partially alluded to in Wiener (1958). This operational version is based on a...