In instrumental variable regression, structural parameter estimation relies on knowledge of the correlation between the structural error and the instruments. The current practice is to assume that this correlation is zero. However, this assumption is unlikely to be satisfied in applied work. In...

It is common in applied econometrics to test the null hypothesis of a level-stationary process against the alternative of a unit root process. We show that the use of conventional asymptotic critical values for the stationarity tests of Kwiatkowski et al. (1992) and Leybourne and McCabe (1994)...