This paper studies a model widely used in the weak instruments literature and establishes admissibility of the weighted average power likelihood ratio tests recently derived by Andrews, Moreira, and Stock (2004, NBER Technical Working Paper 199). The class of tests covered by this admissibility...

In this paper we introduce a new method of projection-type inference and describe it in the context of two stage least squares–based split-sample inference on subsets of structural coefficients in a linear instrumental variables regression model. The use of the new method not only guards...

Econometric applications of kernel estimators are proliferating, suggesting the need for convenient variance estimates and conditions for asymptotic normality. This paper develops a general “delta-method” variance estimator for functionals of kernel estimators. Also, regularity conditions...

We consider the linear regression model with censored dependent variable, where the disturbance terms are restricted only to have zero conditional median (or other prespecified quantile) given the regressors and the censoring point. Thus, the functional form of the conditional distribution of...

This paper considers M-estimators of regression parameters that make use of a generalized functional form for the disturbance distribution. The family of distributions considered is the generalized <italic>t</italic> (GT), which includes the power exponential or Box-Tiao, normal, Laplace, and <italic>t</italic> distributions as...