This dissertation relates to three recent methods of instrument selection in econometrics, namely, the Canonical Correlations Information Criterion (CCIC), the Relevant Moments Selection Criterion (RMSC) and the approximate Mean Square Error Criterion (MSE). Usual canonical correlations measure...

Value-at-Risk (VaR) has emerged as the standard tool for measuring and reporting financial market risk. Currently, more than eighty commercial vendors offer enterprise or trading risk management systems which report VaR-like measures. Risk managers are therefore often left with the daunting task...

Value-at-Risk (VaR) has emerged as the standard tool for measuring and reporting financial market risk. Currently, more than eighty commercial vendors offer enterprise or trading risk management systems which report VaR-like measures. Risk managers are therefore often left with the daunting task...

We examine empirical relevance of three alternative asymptotic approximations to the distribution of instrumental variables estimators by Monte Carlo experiments. We find that conventional asymptotics provides a reasonable approximation to the actual distribution of instrumental variables...