This paper explores the robustness of minimum distance (GMM) estimators focusing particularly on the effect of intermediate covariance matrix estimation on final estimator performance. Asymptotic expansions to order <italic>O</italic>(<italic>n</italic>^−3/2) are employed to construct <italic>O</italic>(<italic>n</italic>⁻²) expansions for the variance of...

We consider model-based prediction of a finite population total when a monotone transformation of the survey variable makes it appropriate to assume additive, homoscedastic errors. As the transformation to achieve this does not necessarily simultaneously produce an easily parameterized mean...

Many popular methods of model selection involve minimizing a penalized function of the data (such as the maximized log-likelihood or the residual sum of squares) over a set of models. The penalty in the criterion function is controlled by a penalty multiplier λ which determines the properties...

This paper studies the qualitative robustness properties of the Schwarz information criterion (SIC) based on objective functions defining <italic>M</italic>-estimators. A definition of qualitative robustness appropriate for model selection is provided and it is shown that the crucial restriction needed to...

The U.S. labor market has been experiencing unprecedented high average unemployment duration. The shift in the unemployment duration distribution can be traced back to the early nineties. In this study, censored quantile regression methods are employed to analyze the changes in the US...

This paper is devoted to a detailed examination of the exact sampling properties of the instrumental variables (IV) estimator of the vector of coefficients on the exogenous variables in a single structural equation. The first two moments of a linear combination of the elements of this estimator...

This paper examines the exact sampling behavior of a family of instrumental variables estimators of the coefficients in a single structural equation when the model has been misspecified by the incorrect inclusion or exclusion of variables. It is found that such specification errors can have...

In the context of a single equation in a system of simultaneous equations there is evidently some confusion in the literature as to the correct approach to the problem of prediction. Here we explore this problem and compare three different approaches to it. We also relate this discussion to...

Chronic daily cannabis use has been shown to have long term harmful health effects, which in turn is expected to reduce labour market productivity. The evidence is less clear on the health impact of less frequent consumption, which is the more typical mode of use, and previous empirical studies...