<b> </b> We consider estimation of the cointegrating relation in the weak fractional cointegration model, where the strength of the cointegrating relation (difference in memory parameters) is less than one‐half. A special case is the stationary fractional cointegration model, which has found...

We study several tests for the coefficient of the single right-hand-side endogenous variable in a linear equation estimated by instrumental variables. We show that writing all the test statistics--Student's t, Anderson--Rubin, the LM statistic of Kleibergen and Moreira (K), and likelihood ratio...

Economists are often interested in the coefficient of a single endogenous explanatory variable in a linear simultaneous‐equations model. One way to obtain a confidence set for this coefficient is to invert the Anderson–Rubin (AR) test. The AR confidence sets that result have correct coverage...

This paper provides densities and finite sample critical values for the single-equation error correction statistic for testing cointegration. Graphs and response surfaces summarize extensive Monte Carlo simulations and highlight simple dependencies of the statistic's quantiles on the number of...

We develop a method based on the use of polar coordinates to investigate the existence of moments for instrumental variables and related estimators in the linear regression model. For generalized IV estimators, we obtain familiar results. For JIVE, we obtain the new result that this estimator...