We suggest improved tests for cointegration rank in the vector autoregressive (VAR) model and develop asymptotic distribution theory and local power results. The tests are (quasi-)likelihood ratio tests based on a Gaussian likelihood, but as usual the asymptotic results do not require normally...

This paper is concerned with inference on the coefficient on the endogenous regressor in a linear instrumental variables model with a single endogenous regressor, nonrandom exogenous regressors and instruments, and i.i.d. errors whose distribution is unknown. It is shown that under mild...

Under minimal assumptions, finite sample confidence bands for quantile regression models can be constructed. These confidence bands are based on the "conditional pivotal property" of estimating equations that quantile regression methods solve and provide valid finite sample inference for linear...

Consider inference about the pre and post break value of a scalar parameter in a time series model with a single break at an unknown date. Unless the break is large, treating the break date estimated by least squares as the true break date leads to substantially oversized tests and confidence...