Lucas' (1967) adjustment costs model and Kydland and Prescott's (1982) time-to-build model induce mutually exclusive time-series properties that can be recovered from data. This paper investigates three variants of a theoretical model which give insight into the parameter restrictions implied by...

Lucas' (1967) adjustment costs model and Kydland and Prescott's (1982) time-to-build model induce mutually exclusive time-series properties that can be recovered from data. This paper investigates three variants of a theoretical model which give insight into the parameter restrictions implied by...

When some explanatory variables in a regression are correlated with the disturbance term, instrumental variable methods are typically employed to make reliable inferences. Furthermore, to avoid difficulties associated with weak instruments, identification robust methods are often proposed....

We provide a generalization of the Anderson-Rubin (AR) procedure for inference on parameters which represent the dependence between possibly endogenous explanatory variables and disturbances in a linear structural equation (endogeneity parameters). We focus on second-order dependence and stress...