The recognition that policies aimed at “getting prices right” in less developed countries were failing due to incomplete markets has spurred a new wave of reforms, directed instead at “getting markets and institutions right”. Although previous studies have documented the potentially...

This paper considers the linear model with endogenous regressors and multiple changes in the parameters at unknown times. It is shown that minimization of a Generalized Method of Moments criterion yields inconsistent estimators of the break fractions, but minimization of the Two Stage Least...

There is compelling evidence that many macroeconomic and financial variables are not generated by linear models. This evidence is based on testing linearity against either smooth nonlinearity or piece-wise linearity, but there is no framework that encompasses both. This paper provides an...

In many applications, a researcher must select an instrument vector from a candidate set of instruments. If the ultimate objective is to perform inference about the unknown parameters using conventional asymptotic theory, then we argue that it is desirable for the chosen instrument vector to...