This paper considers two-sided tests for the parameter of an endogenous variable in an instrumental variable (IV) model with heteroskedastic and autocorrelated errors. We develop the finite-sample theory of weighted-average power (WAP) tests with normal errors and a known long-run variance. We...

Researchers often rely on the t-statistic to make inference on parameters in statistical models. It is common practice to obtain critical values by simulation techniques. This paper proposes a novel numerical method to obtain an approximately similar test. This test rejects the null hypothesis...

Lancaster (2002) proposes an estimator for the dynamic panel data model with homoskedastic errors and zero initial conditions. In this paper, we show this estimator is invariant to orthogonal transformations, but is inefficient because it ignores additional information available in the data. The...

This paper studies models in which hypothesis tests have trivial power, that is, power smaller than size. This testing impossibility, or impossibility type A, arises when any alternative is not distinguishable from the null. We also study settings where it is impossible to have almost surely...

In a model with endogenous regressors, heteroskedastic and autocorrelated (HAC) errors and weak instruments, tests that depend on the data only through the Anderson-Rubin (AR) and Lagrange Multiplier (LM) statistics ignore important information on the regression coefficients. This is in contrast...

We study a principal-agent model with moral hazard and adverse selection. Risk-neutral agents with limited liability have arbitrary private information about the distribution of outputs and the cost of effort. We show that under a multiplicative separability condition, the optimal mechanism...

Since Henry George (1839-1897) economists have been arguing that a tax on unim- proved land is an ideal tax on e¢ ciency grounds. Output taxes, on the other hand, have distortional effects on the economy. This paper shows that under asymmetric information output tax might be used along with...

We consider the problem of a seller who faces a privately informed buyer and only knows one moment of the distribution from which values are drawn. In face of this uncertainty, the seller maximizes his worst-case expected profits. We show that a robustness property of the optimal mechanism...

This note considers the problem of a principal (she) who faces a privately informed agent (he) and only knows one moment of the distribution from which his types are drawn. Payoffs are non-linear in the allocation and the principal maximizes her worst-case expected profits. We recast the robust...

The provision of public goods under asymmetric information has most often been viewed as a mechanism design problem under the aegis of an uninformed mediator. This paper focuses on institutional contexts without such mediator. Contributors privately informed on their willingness to pay...