The fact that weak instruments lead to spurious inference is now widely recognized. In this paper we ask whether spurious inference occurs more generally in weakly identified models. To distinguish between models where spurious inference will occur from those where it does not, we introduce the...

Regression of a trendless random walk on time produces R-squared values around .44 regardless of sample length. The residuals from the regression exhibit only about 14 percent as much variation as the original series even though the underlying process has no functional dependence on time. The...

In models that have a representation of the form       ) , ( x g y the Wald test for ˆBeta has systematically wrong size in finite samples when the indentifying parameter Gamma is small relative to its estimation error. An alternative test based on linearization of g(.) can be...

We provide general results for the asymptotic variance of regression coefficients computedfrom a sample drawn from a finite population. We encompass the potentialoutcomes and classic regression frameworks allowing for both heterogeneous treatmenteffects and random-across-resampling shocks....

We provide general results for the asymptotic variance of regression coefficients computed from a sample drawn from a finite population. We encompass the potential outcomes and classic regression frameworks allowing for both heterogeneous treatment effects and random-across-resampling shocks....