The principal purpose of this paper is to describe the performance of generalized empirical likelihood (GEL) methods for time series instrumental variable models specified by nonlinear moment restrictions when identification may be weak. The paper makes two main contributions. Firstly, we show...

We introduce test statistics based on generalized empirical likelihood methods that can be used to test simple hypotheses involving the unknown parameter vector in moment condition time series models. The test statistics generalize those in Guggenberger and Smith (2005) from the i.i.d. to the...

We examine the efficiency properties of labor taxation. A spatial model of an economy is introduced whose key feature is a new approach to restricted labor mobility. We characterize the efficient allocation of labor and properties of a decentralized equilibrium. An efficient allocation of labor...

We study subvector inference in the linear instrumental variables model assuming homoskedasticity but allowing for weak instruments. The subvector Anderson and Rubin (1949) test that uses chi square critical values with degrees of freedom reduced by the number of parameters not under test,...

This paper introduces a new identification- and singularity-robust conditional quasi-likelihood ratio (SR-CQLR) test and a new identification- and singularity-robust Anderson and Rubin (1949) (SR-AR) test for linear and nonlinear moment condition models. Both tests are very fast to compute. The...