We propose finite sample tests and confidence sets for models with unobserved and generated regressors as well as various models estimated by instrumental variables methods. The validity of the procedures is unaffected by the presence of identification problems or "weak instruments", so no...

We discuss statistical inference problems associated with identification and testability in econometrics, and we emphasize the common nature of the two issues. After reviewing the relevant statistical notions, we consider in turn inference in nonparametric models and recent developments on...

We discuss statistical inference problems associated with identification and testability in econometrics, and we emphasize the common nature of the two issues. After reviewing the relevant statistical notions, we consider in turn inference in nonparametric models and recent developments on...

We propose finite sample tests and confidence sets for models with unobserved and generated regressors as well as various models estimated by instrumental variables methods. The validity of the procedures is unaffected by the presence of identification problems or weak instruments, so no...

We discuss statistical inference problems associated with identification and testability in econometrics, and we emphasize the common nature of the two issues. After reviewing the relevant statistical notions, we consider in turn inference in nonparametric models and recent developments on...

We develop an empirically highly accurate discrete-time daily stochastic volatility model that explicitly distinguishes between the jump and continuous time components of price movements using nonparametric realized variation and Bipower variation measures constructed from high-frequency...

We consider processes with second order long range dependence resulting from heavy tailed durations. We refer to this phenomenon as duration- driven long range dependence (DDLRD), as opposed to the more widely studied linear long range dependence based on fractional differencing of an $iid$...

This paper considers the implications of omitted mean shifts for estimation and inference in VARs. It is shown that the least squares estimates are inconsistent, and the F test for Granger causality diverges. While model selection rules have the tendency to incorrectly select a lag length that...

The control function approach (Heckman and Robb (1985)) in a system of linear simultaneous equations provides a convenient procedure to estimate one of the functions in the system using reduced form residuals from the other functions as additional regressors. The conditions on the structural...

When one wants to estimate a model without specifying the functions and distributions parametrically, or when one wants to analyze the identification of a model independently of any particular parametric specification, it is useful to perform a nonparametric analysis of identification. This...