A standard test for weak instruments compares the first-stage F-statistic to a table of critical values obtained by Stock and Yogo (2005) using simulations. We derive a closed-form solution for the expectation from which these critical values are derived, as well as present some second-order...

The Poisson regression model remains an important tool in the econometric analysis of count data. In a pioneering contribution to the econometric analysis of such models, Lung-Fei Lee presented a specification test for a Poisson model against a broad class of discrete distributions sometimes...

Chaudhuri, Doksum and Samarov (1997) have recently stressed the usefulness of the quantile regression formulation for survival analysis and for transformation models, more generally. In this paper, we explore the use of quantile regression in survival analysis by reanalysing a large experimental...

Recent developments in the theory of choice under uncertainty and risk yield a pessimistic decision theory that replaces the classical expected utility criterion with a Choquet expectation that accentuates the likelihood of the least favorable outcomes. A parallel theory has recently emerged in...

Statistical models of unobserved heterogeneity are typically formalized as mix- tures of simple parametric models and interest naturally focuses on testing for homogeneity versus general mixture alternatives. Many tests of this type can be interpreted as C(») tests, as in Neyman (1959), and...

Empirical Bayes methods for Gaussian compound decision problems involving longitudinal data are considered. The new convex optimization formulation of the nonparametric (Kiefer-Wolfowitz) maximum likelihood estimator for mixture models is employed to construct nonparametric Bayes rules for...

Since Quetelet's work in the 19th century social science has iconi fied "the average man", that hypothetical man without qualities who is comfortable with his head in the oven, and his feet in a bucket of ice. Conventional statistical methods, since Quetelet, have sought to estimate the effects...

Models of unobserved heterogeneity, or frailty as it is commonly known in survival analysis, can often be formulated as semiparametric mixture models and estimated by maximum likelihood as proposed by Robbins (1950) and elaborated by Kiefer and Wolfowitz (1956). Recent developments in convex...

Nonparametric maximum likelihood estimation of general mixture models pioneered by the work of Kiefer and Wolfowitz (1956) has been recently reformulated as an exponential family regression spline problem in Efron (2016). Both approaches yield a low dimensional estimate of the mixing...