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Patrik Guggenberger

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Donald W. K. Andrews & Patrik Guggenberger, 2015. "Identification- and Singularity-Robust Inference for Moment Condition," Cowles Foundation Discussion Papers 1978, Cowles Foundation for Research in Economics, Yale University.

    Cited by:

    1. Purevdorj Tuvaandorj, 2021. "Robust Permutation Tests in Linear Instrumental Variables Regression," Papers 2111.13774, arXiv.org, revised Jul 2024.
    2. Patrik Guggenberge & Frank Kleibergen & Sophocles Mavroeidis, 2021. "A Powerful Subvector Anderson Rubin Test in Linear Instrumental Variables Regression with Conditional Heteroskedasticity," Economics Series Working Papers 960, University of Oxford, Department of Economics.
    3. Marcelo J. Moreira & Geert Ridder, 2020. "Efficiency Loss of Asymptotically Efficient Tests in an Instrumental Variables Regression," Papers 2008.13042, arXiv.org, revised Sep 2021.
    4. Dennis Lim & Wenjie Wang & Yichong Zhang, 2022. "A Conditional Linear Combination Test with Many Weak Instruments," Papers 2207.11137, arXiv.org, revised Apr 2023.
    5. Wang, Wenjie, 2021. "Wild Bootstrap for Instrumental Variables Regression with Weak Instruments and Few Clusters," MPRA Paper 106227, University Library of Munich, Germany.
    6. Arthur Lewbel, 2018. "The Identification Zoo - Meanings of Identification in Econometrics," Boston College Working Papers in Economics 957, Boston College Department of Economics, revised 14 Dec 2019.
    7. Bertille Antoine & Pascal Lavergne, 2020. "Identification-Robust Nonparametric Interference in a Linear IV Model," Discussion Papers dp20-03, Department of Economics, Simon Fraser University.
    8. Bertille Antoine & Pascal Lavergne, 2021. "Identifcation-Robust Nonparametric Inference in a Linear IV Model," Discussion Papers dp21-12, Department of Economics, Simon Fraser University.
    9. Lee, Adam & Mesters, Geert, 2024. "Locally robust inference for non-Gaussian linear simultaneous equations models," Journal of Econometrics, Elsevier, vol. 240(1).
    10. Wenjie Wang & Yichong Zhang, 2021. "Wild Bootstrap for Instrumental Variables Regressions with Weak and Few Clusters," Papers 2108.13707, arXiv.org, revised Jan 2024.
    11. Geert Mesters & Régis Barnichon, 2025. "Innovations Meet Narratives -Improving the Power-Credibility Trade-off in Macro," Working Papers 1475, Barcelona School of Economics.
    12. Dennis Lim & Wenjie Wang & Yichong Zhang, 2024. "A Dimension-Agnostic Bootstrap Anderson-Rubin Test For Instrumental Variable Regressions," Papers 2412.01603, arXiv.org.
    13. Horowitz, Joel L., 2021. "Bounding the difference between true and nominal rejection probabilities in tests of hypotheses about instrumental variables models," Journal of Econometrics, Elsevier, vol. 222(2), pages 1057-1082.
    14. Adam Lee & Geert Mesters, 2021. "Robust non-Gaussian inference for linear simultaneous equations models," Economics Working Papers 1792, Department of Economics and Business, Universitat Pompeu Fabra.
    15. Wang, Wenjie & Zhang, Yichong, 2024. "Wild bootstrap inference for instrumental variables regressions with weak and few clusters," Journal of Econometrics, Elsevier, vol. 241(1).
    16. Lim, Dennis & Wang, Wenjie & Zhang, Yichong, 2024. "A conditional linear combination test with many weak instruments," Journal of Econometrics, Elsevier, vol. 238(2).
    17. Donald W.K. Andrews & Xu Cheng & Patrik Guggenberger, 2011. "Generic Results for Establishing the Asymptotic Size of Confidence Sets and Tests," Cowles Foundation Discussion Papers 1813, Cowles Foundation for Research in Economics, Yale University.
    18. Jean-Jacques Forneron, 2019. "Detecting Identification Failure in Moment Condition Models," Papers 1907.13093, arXiv.org, revised Oct 2023.
    19. Gregory Cox, 2022. "Weak Identification in Low-Dimensional Factor Models with One or Two Factors," Papers 2211.00329, arXiv.org, revised Mar 2024.
    20. Zhongjun Qu & Denis Tkachenko, 2023. "Using arbitrary precision arithmetic to sharpen identification analysis for DSGE models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(4), pages 644-667, June.
    21. Woosik Gong & Myung Hwan Seo, 2022. "Bootstraps for Dynamic Panel Threshold Models," Papers 2211.04027, arXiv.org, revised Sep 2024.
    22. Gregory Cox, 2020. "Weak Identification with Bounds in a Class of Minimum Distance Models," Papers 2012.11222, arXiv.org, revised Dec 2022.
    23. Ganesh Karapakula, 2023. "Stable Probability Weighting: Large-Sample and Finite-Sample Estimation and Inference Methods for Heterogeneous Causal Effects of Multivalued Treatments Under Limited Overlap," Papers 2301.05703, arXiv.org, revised Jan 2023.

  2. Donald W. K. Andrews & Patrik Guggenberger, 2014. "Asymptotic Size of Kleibergen's LM and Conditional LR Tests for Moment Condition Models," Cowles Foundation Discussion Papers 1977, Cowles Foundation for Research in Economics, Yale University.

    Cited by:

    1. Humberto Moreira & Marcelo Moreira, 2016. "Optimal two-sided tests for instrumental variables regression with heteroskedastic and autocorrelated errors," CeMMAP working papers CWP25/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    2. Purevdorj Tuvaandorj, 2021. "Robust Permutation Tests in Linear Instrumental Variables Regression," Papers 2111.13774, arXiv.org, revised Jul 2024.
    3. Stépahne Auray & Nicolas Lepage-Saucier & Purevdorj Tuvaandor, 2018. "Doubly Robust GMM Inference and Differentiated Products Demand Models," Working Papers 2018-13, Center for Research in Economics and Statistics.
    4. Frank Kleibergen & Zhaoguo Zhan, 2021. "Double robust inference for continuous updating GMM," Papers 2105.08345, arXiv.org.
    5. Phillips, Peter C.B. & Gao, Wayne Yuan, 2017. "Structural inference from reduced forms with many instruments," Journal of Econometrics, Elsevier, vol. 199(2), pages 96-116.
    6. Tetsuya Kaji, 2019. "Theory of Weak Identification in Semiparametric Models," Papers 1908.10478, arXiv.org, revised Aug 2020.
    7. Julian Martinez-Iriarte & Yixiao Sun & Xuexin Wang, 2019. "Asymptotic F Tests under Possibly Weak Identification," Working Papers 2019-03-12, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    8. Cheng, Xu, 2015. "Robust inference in nonlinear models with mixed identification strength," Journal of Econometrics, Elsevier, vol. 189(1), pages 207-228.
    9. Steven T. Berry & Philip A. Haile, 2021. "Foundations of Demand Estimation," Cowles Foundation Discussion Papers 2301, Cowles Foundation for Research in Economics, Yale University.
    10. Donald W.K. Andrews & Xu Cheng & Patrik Guggenberger, 2011. "Generic Results for Establishing the Asymptotic Size of Confidence Sets and Tests," Cowles Foundation Discussion Papers 1813, Cowles Foundation for Research in Economics, Yale University.
    11. Aragón, Edilean Kleber da Silva Bejarano & Galvão, Ana Beatriz, 2023. "Shock-based inference on the Phillips curve with the cost channel," Economic Modelling, Elsevier, vol. 126(C).
    12. Chaudhuri, Saraswata & Renault, Eric, 2020. "Score tests in GMM: Why use implied probabilities?," Journal of Econometrics, Elsevier, vol. 219(2), pages 260-280.
    13. Gregory Cox, 2022. "Weak Identification in Low-Dimensional Factor Models with One or Two Factors," Papers 2211.00329, arXiv.org, revised Mar 2024.
    14. Gregory Cox, 2020. "Weak Identification with Bounds in a Class of Minimum Distance Models," Papers 2012.11222, arXiv.org, revised Dec 2022.
    15. Don S. Poskitt, 2020. "On GMM Inference: Partial Identification, Identification Strength, and Non-Standard," Monash Econometrics and Business Statistics Working Papers 40/20, Monash University, Department of Econometrics and Business Statistics.

  3. Donald W.K. Andrews & Patrik Guggenberger, 2011. "A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter," Cowles Foundation Discussion Papers 1812, Cowles Foundation for Research in Economics, Yale University.

    Cited by:

    1. David M. Kaplan & Matt Goldman, 2016. "Nonparametric inference on conditional quantile differences and linear combinations, using L-statistics," Working Papers 1620, Department of Economics, University of Missouri.
    2. Mohitosh Kejriwal & Xuewen Yu & Pierre Perron, 2020. "Bootstrap Procedures for Detecting Multiple Persistence Shifts in Heteroskedastic Time Series," Boston University - Department of Economics - Working Papers Series WP2020-009, Boston University - Department of Economics.
    3. Plakandaras, Vasilios & Gupta, Rangan & Balcilar, Mehmet & Ji, Qiang, 2022. "Evolving United States stock market volatility: The role of conventional and unconventional monetary policies," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
    4. Sochi Iwuoha & Joseph I. Onochie, 2023. "Investigating the Relationship Between Canada’s Environmental Quality and GDP-Alternative Measures: An Error Correction Approach," Advances in Management and Applied Economics, SCIENPRESS Ltd, vol. 13(2), pages 1-1.
    5. Jae H. Kim & In Choi, 2017. "Unit Roots in Economic and Financial Time Series: A Re-Evaluation at the Decision-Based Significance Levels," Econometrics, MDPI, vol. 5(3), pages 1-23, September.
    6. Phillips, Peter C.B. & Lee, Ji Hyung, 2016. "Robust econometric inference with mixed integrated and mildly explosive regressors," Journal of Econometrics, Elsevier, vol. 192(2), pages 433-450.
    7. Ronald W. Butler & Marc S. Paolella, 2017. "Autoregressive Lag—Order Selection Using Conditional Saddlepoint Approximations," Econometrics, MDPI, vol. 5(3), pages 1-33, September.
    8. Goldman, Matt & Kaplan, David M., 2017. "Fractional order statistic approximation for nonparametric conditional quantile inference," Journal of Econometrics, Elsevier, vol. 196(2), pages 331-346.
    9. Donald W.K. Andrews & Xu Cheng & Patrik Guggenberger, 2011. "Generic Results for Establishing the Asymptotic Size of Confidence Sets and Tests," Cowles Foundation Discussion Papers 1813, Cowles Foundation for Research in Economics, Yale University.

  4. Donald W.K. Andrews & Xu Cheng & Patrik Guggenberger, 2011. "Generic Results for Establishing the Asymptotic Size of Confidence Sets and Tests," Cowles Foundation Discussion Papers 1813, Cowles Foundation for Research in Economics, Yale University.

    Cited by:

    1. Chen, Heng & Fan, Yanqin & Liu, Ruixuan, 2016. "Inference for the correlation coefficient between potential outcomes in the Gaussian switching regime model," Journal of Econometrics, Elsevier, vol. 195(2), pages 255-270.
    2. Humberto Moreira & Marcelo Moreira, 2016. "Optimal two-sided tests for instrumental variables regression with heteroskedastic and autocorrelated errors," CeMMAP working papers CWP25/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    3. Philipp Ketz & Adam McCloskey, 2021. "Short and Simple Confidence Intervals when the Directions of Some Effects are Known," Papers 2109.08222, arXiv.org.
    4. Gregory Fletcher Cox, 2024. "A Simple and Adaptive Confidence Interval when Nuisance Parameters Satisfy an Inequality," Papers 2409.09962, arXiv.org.
    5. Purevdorj Tuvaandorj, 2021. "Robust Permutation Tests in Linear Instrumental Variables Regression," Papers 2111.13774, arXiv.org, revised Jul 2024.
    6. Patrik Guggenberge & Frank Kleibergen & Sophocles Mavroeidis, 2021. "A Powerful Subvector Anderson Rubin Test in Linear Instrumental Variables Regression with Conditional Heteroskedasticity," Economics Series Working Papers 960, University of Oxford, Department of Economics.
    7. Marcelo J. Moreira & Geert Ridder, 2020. "Efficiency Loss of Asymptotically Efficient Tests in an Instrumental Variables Regression," Papers 2008.13042, arXiv.org, revised Sep 2021.
    8. Donald W. K. Andrews & Xu Cheng, 2011. "Maximum Likelihood Estimation and Uniform Inference with Sporadic Identification Failure," Cowles Foundation Discussion Papers 1824R, Cowles Foundation for Research in Economics, Yale University, revised Oct 2012.
    9. Humberto Moreira & Marcelo Moreira, 2016. "Optimal two-sided tests for instrumental variables regression with heteroskedastic and autocorrelated errors," CeMMAP working papers 25/16, Institute for Fiscal Studies.
    10. Ruoyao Shi, 2022. "An Averaging Estimator for Two Step M Estimation in Semiparametric Models," Working Papers 202201, University of California at Riverside, Department of Economics.
    11. Isaiah Andrews & Toru Kitagawa & Adam McCloskey, 2024. "Inference on Winners," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 139(1), pages 305-358.
    12. Xu Cheng, 2014. "Uniform Inference in Nonlinear Models with Mixed Identification Strength," PIER Working Paper Archive 14-018, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    13. Matsushita, Yukitoshi & Otsu, Taisuke, 2024. "A jackknife Lagrange multiplier test with many weak instruments," LSE Research Online Documents on Economics 116392, London School of Economics and Political Science, LSE Library.
    14. Chengwang Liao & Ziwei Mei & Zhentao Shi, 2024. "Nickell Meets Stambaugh: A Tale of Two Biases in Panel Predictive Regressions," Papers 2410.09825, arXiv.org.
    15. Kang, Natasha & Marmer, Vadim, 2020. "Modeling Long Cycles," Economics working papers vadim_marmer-2020-3, Vancouver School of Economics, revised 26 Oct 2020.
    16. Donald W.K. Andrews & Xiaoxia Shi, 2010. "Inference Based on Conditional Moment Inequalities," Cowles Foundation Discussion Papers 1761R2, Cowles Foundation for Research in Economics, Yale University, revised May 2012.
    17. Donald W.K. Andrews, 2017. "Identification-Robust Subvector Inference," Cowles Foundation Discussion Papers 2105, Cowles Foundation for Research in Economics, Yale University, revised Sep 2017.
    18. Ketz, Philipp, 2019. "On asymptotic size distortions in the random coefficients logit model," Journal of Econometrics, Elsevier, vol. 212(2), pages 413-432.
    19. Lee, Adam & Mesters, Geert, 2024. "Locally robust inference for non-Gaussian linear simultaneous equations models," Journal of Econometrics, Elsevier, vol. 240(1).
    20. Alexandre Belloni & Victor Chernozhukov & Christian Hansen, 2012. "Inference on treatment effects after selection amongst high-dimensional controls," CeMMAP working papers CWP10/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    21. Xiaohong Chen & Maria Ponomareva & Elie Tamer, 2013. "Likelihood inference in some finite mixture models," CeMMAP working papers CWP19/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    22. Philipp Ketz, 2018. "Subvector inference when the true parameter vector may be near or at the boundary," Post-Print halshs-01884381, HAL.
    23. Adam McCloskey, 2012. "Bonferroni-Based Size-Correction for Nonstandard Testing Problems," Working Papers 2012-16, Brown University, Department of Economics.
    24. John Chao & Peter C.B. Phillips, 2017. "Uniform Inference in Panel Autoregression," Cowles Foundation Discussion Papers 2071, Cowles Foundation for Research in Economics, Yale University.
    25. Cheng, Xu, 2015. "Robust inference in nonlinear models with mixed identification strength," Journal of Econometrics, Elsevier, vol. 189(1), pages 207-228.
    26. Ke-Li Xu, 2022. "On Local Projection Based Inference," CAEPR Working Papers 2022-002 Classification-, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    27. Donald W. K. Andrews & Patrik Guggenberger, 2014. "A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter," The Review of Economics and Statistics, MIT Press, vol. 96(2), pages 376-381, May.
    28. Lu, Xun & Su, Liangjun, 2023. "Uniform inference in linear panel data models with two-dimensional heterogeneity," Journal of Econometrics, Elsevier, vol. 235(2), pages 694-719.
    29. Alejandro Sanchez-Becerra, 2023. "Robust inference for the treatment effect variance in experiments using machine learning," Papers 2306.03363, arXiv.org.
    30. Jui-Chung Yang & Ke-Li Xu, 2013. "Estimation and Inference under Weak Identi cation and Persistence: An Application on Forecast-Based Monetary Policy Reaction Function," 2013 Papers pya307, Job Market Papers.
    31. José Luis Montiel Olea & Mikkel Plagborg‐Møller, 2021. "Local Projection Inference Is Simpler and More Robust Than You Think," Econometrica, Econometric Society, vol. 89(4), pages 1789-1823, July.
    32. Chevillon, Guillaume & Mavroeidis, Sophocles & Zhan, Zhaoguo, 2016. "Robust inference in structural VARs with long-run restrictions," ESSEC Working Papers WP1702, ESSEC Research Center, ESSEC Business School.
    33. Donald W.K. Andrews & Xu Cheng, 2011. "GMM Estimation and Uniform Subvector Inference with Possible Identification Failure," Cowles Foundation Discussion Papers 1828, Cowles Foundation for Research in Economics, Yale University.
    34. Lim, Dennis & Wang, Wenjie & Zhang, Yichong, 2024. "A conditional linear combination test with many weak instruments," Journal of Econometrics, Elsevier, vol. 238(2).
    35. Xiaoxia Shi, 2015. "A nondegenerate Vuong test," Quantitative Economics, Econometric Society, vol. 6(1), pages 85-121, March.
    36. Xu Cheng & Winston Wei Dou & Zhipeng Liao, 2022. "Macro‐Finance Decoupling: Robust Evaluations of Macro Asset Pricing Models," Econometrica, Econometric Society, vol. 90(2), pages 685-713, March.
    37. Fan, Yanqin & Shi, Xuetao, 2023. "Wald, QLR, and score tests when parameters are subject to linear inequality constraints," Journal of Econometrics, Elsevier, vol. 235(2), pages 2005-2026.
    38. Forneron, Jean-Jacques, 2024. "Detecting identification failure in moment condition models," Journal of Econometrics, Elsevier, vol. 238(1).
    39. Isaiah Andrews & Anna Mikusheva, 2016. "Conditional Inference With a Functional Nuisance Parameter," Econometrica, Econometric Society, vol. 84(4), pages 1571-1612, July.
    40. Ke-Li Xu, 2023. "Local Projection Based Inference under General Conditions," CAEPR Working Papers 2023-001 Classification-C, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    41. Ruoyao Shi & Zhipeng Liao, 2018. "An Averaging GMM Estimator Robust to Misspecification," Working Papers 201803, University of California at Riverside, Department of Economics.
    42. Rui Da & Dacheng Xiu, 2021. "When Moving‐Average Models Meet High‐Frequency Data: Uniform Inference on Volatility," Econometrica, Econometric Society, vol. 89(6), pages 2787-2825, November.
    43. Gregory Cox, 2020. "Weak Identification with Bounds in a Class of Minimum Distance Models," Papers 2012.11222, arXiv.org, revised Dec 2022.
    44. Xu Cheng & Zhipeng Liao & Ruoyao Shi, 2013. "Uniform Asymptotic Risk of Averaging GMM Estimator Robust to Misspecification, Second Version," PIER Working Paper Archive 15-017, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 25 Mar 2015.

  5. Donald W.K. Andrews & Patrik Guggenberger, 2008. "Asymptotics for LS, GLS, and Feasible GLS Statistics in an AR(1) Model with Conditional Heteroskedaticity," Cowles Foundation Discussion Papers 1665, Cowles Foundation for Research in Economics, Yale University.

    Cited by:

    1. Chen, Ye & Phillips, Peter C.B. & Yu, Jun, 2017. "Inference in continuous systems with mildly explosive regressors," Journal of Econometrics, Elsevier, vol. 201(2), pages 400-416.
    2. Lu, Cuicui & Wooldridge, Jeffrey M., 2017. "Quasi-generalized least squares regression estimation with spatial data," Economics Letters, Elsevier, vol. 156(C), pages 138-141.
    3. Ke-Li Xu, 2022. "On Local Projection Based Inference," CAEPR Working Papers 2022-002 Classification-, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    4. Donald W.K. Andrews & Xu Cheng & Patrik Guggenberger, 2011. "Generic Results for Establishing the Asymptotic Size of Confidence Sets and Tests," Cowles Foundation Discussion Papers 1813, Cowles Foundation for Research in Economics, Yale University.
    5. Westerlund, Joakim, 2014. "On the choice of test for a unit root when the errors are conditionally heteroskedastic," Computational Statistics & Data Analysis, Elsevier, vol. 69(C), pages 40-53.
    6. Ke-Li Xu, 2023. "Local Projection Based Inference under General Conditions," CAEPR Working Papers 2023-001 Classification-C, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.

  6. Patrik Guggenberger, 2008. "The Impact of a Hausman Pretest on the Size of Hypothesis Tests," Cowles Foundation Discussion Papers 1651, Cowles Foundation for Research in Economics, Yale University.

    Cited by:

    1. Kevin E. Staub, 2009. "Simple tests for exogeneity of a binary explanatory variable in count data regression models," SOI - Working Papers 0904, Socioeconomic Institute - University of Zurich.
    2. Andrews, Donald W.K. & Guggenberger, Patrik, 2009. "Incorrect asymptotic size of subsampling procedures based on post-consistent model selection estimators," Journal of Econometrics, Elsevier, vol. 152(1), pages 19-27, September.

  7. Donald W.K. Andrews & Patrik Guggenberger, 2007. "Validity of Subsampling and "Plug-in Asymptotic" Inference for Parameters Defined by Moment Inequalities," Cowles Foundation Discussion Papers 1620, Cowles Foundation for Research in Economics, Yale University.

    Cited by:

    1. Xiaohong Chen & Timothy M. Christensen & Keith O'Hara & Elie Tamer, 2016. "MCMC confidence sets for identified sets," CeMMAP working papers 28/16, Institute for Fiscal Studies.
    2. Xiaohong Chen & Timothy Christensen & Keith O’Hara & Elie Tamer, 2016. "MCMC Confidence sets for Identified Sets," Cowles Foundation Discussion Papers 2037R, Cowles Foundation for Research in Economics, Yale University, revised Jul 2016.
    3. Fernando Borraz & Alberto Cavallo & Roberto Rigobon & Leandro Zipitría, 2012. "Distance and Political Boundaries:Estimating Border Effects under Inequality Constraints," Documentos de Trabajo (working papers) 1012, Department of Economics - dECON.
    4. Gregory Cox & Xiaoxia Shi, 2023. "Simple Adaptive Size-Exact Testing for Full-Vector and Subvector Inference in Moment Inequality Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 90(1), pages 201-228.
    5. Christopher P. Chambers & Federico Echenique & Nicolas Lambert, 2019. "Recovering Preferences from Finite Data," Papers 1909.05457, arXiv.org, revised Oct 2020.
    6. Christian Bontemps & Thierry Magnac & Eric Maurin, 2012. "Set Identified Linear Models," Econometrica, Econometric Society, vol. 80(3), pages 1129-1155, May.
    7. Victor Chernozhukov & Denis Chetverikov & Kengo Kato, 2016. "Testing many moment inequalities," CeMMAP working papers CWP42/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    8. Demet Yilmazkuday & Hakan Yilmazkuday, 2014. "The role of direct flights in trade costs," Globalization Institute Working Papers 179, Federal Reserve Bank of Dallas.
    9. Susanne M. Schennach, 2014. "Entropic Latent Variable Integration via Simulation," Econometrica, Econometric Society, vol. 82(1), pages 345-385, January.
    10. Ian Crawford & Bram De Rock, 2014. "Empirical Revealed Preference," Annual Review of Economics, Annual Reviews, vol. 6(1), pages 503-524, August.
    11. Arie Beresteanu, 2009. "Sharp Identification Regions in Models with Convex Predictions: Games, Individual Choice, and Incomplete Data," Working Paper 428, Department of Economics, University of Pittsburgh, revised Sep 2010.
    12. Weese, Eric, 2013. "Political Mergers as Coalition Formation: An Analysis of the Heisei Municipal Amalgamations," Working Papers 113, Yale University, Department of Economics.
    13. Federico A. Bugni & Ivan A. Canay & Xiaoxia Shi, 2013. "Specification tests for partially identified models defined by moment inequalities," CeMMAP working papers 01/13, Institute for Fiscal Studies.
    14. Federico A. Bugni & Ivan A. Canay & Xiaoxia Shi, 2014. "Inference for functions of partially identified parameters in moment inequality models," CeMMAP working papers 22/14, Institute for Fiscal Studies.
    15. Menzel, Konrad, 2014. "Consistent estimation with many moment inequalities," Journal of Econometrics, Elsevier, vol. 182(2), pages 329-350.
    16. Molinari, Francesca, 2020. "Microeconometrics with partial identification," Handbook of Econometrics, in: Steven N. Durlauf & Lars Peter Hansen & James J. Heckman & Rosa L. Matzkin (ed.), Handbook of Econometrics, edition 1, volume 7, chapter 0, pages 355-486, Elsevier.
    17. Nick Koning & Paul Bekker, 2019. "Exact Testing of Many Moment Inequalities Against Multiple Violations," Papers 1904.12775, arXiv.org, revised Jun 2020.
    18. Raffaella Giacomini & Toru Kitagawa, 2018. "Robust Bayesian inference for set-identified models," CeMMAP working papers CWP61/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    19. Yuan Liao & Anna Simoni, 2019. "Bayesian inference for partially identified smooth convex models," Post-Print hal-03089881, HAL.
    20. Fan, Yanqin & Park, Sang Soo, 2009. "Partial identification of the distribution of treatment effects and its confidence sets," MPRA Paper 37148, University Library of Munich, Germany.
    21. Andrew Chesher & Adam Rosen, 2016. "Characterizations of identified sets delivered by structural econometric models," CeMMAP working papers 44/16, Institute for Fiscal Studies.
    22. Stefan Boes, 2009. "Bounds on Counterfactual Distributions Under Semi-Monotonicity Constraints," SOI - Working Papers 0920, Socioeconomic Institute - University of Zurich.
    23. Donald W.K. Andrews & Sukjin Han, 2008. "Invalidity of the Bootstrap and the m Out of n Bootstrap for Interval Endpoints Defined by Moment Inequalities," Cowles Foundation Discussion Papers 1671, Cowles Foundation for Research in Economics, Yale University.
    24. Xiaohong Chen & Timothy M. Christensen & Elie Tamer, 2017. "Monte Carlo confidence sets for identified sets," CeMMAP working papers CWP43/17, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    25. Chen, Ruxin & Tabri, Rami V., 2019. "Jackknife Empirical Likelihood for Inequality Constraints on Regular Functionals," Working Papers 2019-07, University of Sydney, School of Economics, revised Sep 2019.
    26. Donald W.K. Andrews & Patrik Guggenberger, 2007. "Applications of Subsampling, Hybrid, and Size-Correction Methods," Cowles Foundation Discussion Papers 1608, Cowles Foundation for Research in Economics, Yale University.
    27. Arulampalam, Wiji & Corradi, Valentina & Gutknecht, Daniel, 2014. "Modelling Heaped Duration Data: An Application to Neonatal Mortality," IZA Discussion Papers 8493, Institute of Labor Economics (IZA).
    28. Yuichi Kitamura & Jörg Stoye, 2016. "Nonparametric analysis of random utility models," CeMMAP working papers 27/16, Institute for Fiscal Studies.
    29. Hiroaki Kaido & Francesca Molinari & Jorg Stoye, 2016. "Confi dence Intervals for Projections of Partially Identi fied Parameters," Boston University - Department of Economics - Working Papers Series wp2016-001, Boston University - Department of Economics.
    30. Wooyoung Kim & Koohyun Kwon & Soonwoo Kwon & Sokbae Lee, 2018. "The identification power of smoothness assumptions in models with counterfactual outcomes," Quantitative Economics, Econometric Society, vol. 9(2), pages 617-642, July.
    31. Vikström, Johan & Ridder, Geert & Weidner, Martin, 2018. "Bounds on treatment effects on transitions," Journal of Econometrics, Elsevier, vol. 205(2), pages 448-469.
    32. Donald W.K. Andrews & Panle Jia, 2008. "Inference for Parameters Defined by Moment Inequalities: A Recommended Moment Selection Procedure," Cowles Foundation Discussion Papers 1676, Cowles Foundation for Research in Economics, Yale University.
    33. Christian Bontemps & Thierry Magnac, 2017. "Set identification, moment restrictions, and inference," Post-Print hal-01575813, HAL.
    34. Jorg Stoye, 2009. "More on Confidence Intervals for Partially Identified Parameters," Econometrica, Econometric Society, vol. 77(4), pages 1299-1315, July.
    35. Fan Yang & Dylan S. Small, 2016. "Using post-outcome measurement information in censoring-by-death problems," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 78(1), pages 299-318, January.
    36. Armstrong, Timothy B., 2018. "On the choice of test statistic for conditional moment inequalities," Journal of Econometrics, Elsevier, vol. 203(2), pages 241-255.
    37. Sokbae (Simon) Lee & Kyungchui (Kevin) Song & Yoon-Jae Whang, 2014. "Testing for a general class of functional inequalities," CeMMAP working papers CWP09/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    38. Yuan Liao & Anna Simoni, 2012. "Semi-parametric Bayesian Partially Identified Models based on Support Function," Papers 1212.3267, arXiv.org, revised Nov 2013.
    39. Donald W.K. Andrews & Xiaoxia Shi, 2010. "Inference Based on Conditional Moment Inequalities," Cowles Foundation Discussion Papers 1761R2, Cowles Foundation for Research in Economics, Yale University, revised May 2012.
    40. Hyungsik Roger Moon & Frank Schorfheide, 2009. "Bayesian and Frequentist Inference in Partially Identified Models," NBER Working Papers 14882, National Bureau of Economic Research, Inc.
    41. Eleonora Granziera & Hyungsik Roger Moon & Frank Schorfheide, 2017. "Inference for VARs Identified with Sign Restrictions," Papers 1709.10196, arXiv.org, revised Feb 2018.
    42. Fan, Yanqin & Park, Sang Soo, 2014. "Nonparametric inference for counterfactual means: Bias-correction, confidence sets, and weak IV," Journal of Econometrics, Elsevier, vol. 178(P1), pages 45-56.
    43. Byunghoon Kang, 2017. "Inference in Nonparametric Series Estimation with Data-Dependent Undersmoothing," Working Papers 170712442, Lancaster University Management School, Economics Department.
    44. Armstrong, Timothy B., 2014. "Weighted KS statistics for inference on conditional moment inequalities," Journal of Econometrics, Elsevier, vol. 181(2), pages 92-116.
    45. Joseph P. Romano & Azeem M. Shaikh & Michael Wolf, 2014. "A Practical Two‐Step Method for Testing Moment Inequalities," Econometrica, Econometric Society, vol. 82, pages 1979-2002, September.
    46. Thomas Demuynck, 2018. "Testing the homogeneous marginal utility of income assumption," Econometric Reviews, Taylor & Francis Journals, vol. 37(10), pages 1120-1136, November.
    47. Donald W.K. Andrews & Xiaoxia Shi, 2011. "Nonparametric Inference Based on Conditional Moment Inequalities," Cowles Foundation Discussion Papers 1840R, Cowles Foundation for Research in Economics, Yale University, revised Feb 2013.
    48. Andrew Chesher & Adam Rosen, 2014. "Generalized instrumental variable models," CeMMAP working papers CWP04/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    49. Rami V. Tabri & Christopher D. Walker, 2020. "Inference for Moment Inequalities: A Constrained Moment Selection Procedure," Papers 2008.09021, arXiv.org, revised Aug 2020.
    50. Marine Carrasco & N’Golo Koné, 2024. "Test for Trading Costs Effect in a Portfolio Selection Problem with Recursive Utility," Journal of Financial Econometrics, Oxford University Press, vol. 22(4), pages 908-953.
    51. Johan Vikström & Geert Ridder & Martin Weidner, 2015. "Bounds on treatment effects on transitions," CeMMAP working papers 01/15, Institute for Fiscal Studies.
    52. João Madeira & Nuno Palma, 2018. "Measuring Monetary Policy Deviations from the Taylor Rule," Economics Discussion Paper Series 1803, Economics, The University of Manchester.
    53. Joseph P. Romano & Azeem M. Shaikh & Michael Wolf, 2009. "Hypothesis testing in econometrics," IEW - Working Papers 444, Institute for Empirical Research in Economics - University of Zurich.
    54. Adam Rosen, 2006. "Confidence sets for partially identified parameters that satisfy a finite number of moment inequalities," CeMMAP working papers CWP25/06, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    55. Kim, Dongwoo, 2023. "Partially identifying competing risks models: An application to the war on cancer," Journal of Econometrics, Elsevier, vol. 234(2), pages 536-564.
    56. Adam McCloskey, 2012. "Bonferroni-Based Size-Correction for Nonstandard Testing Problems," Working Papers 2012-16, Brown University, Department of Economics.
    57. John Chao & Peter C.B. Phillips, 2017. "Uniform Inference in Panel Autoregression," Cowles Foundation Discussion Papers 2071, Cowles Foundation for Research in Economics, Yale University.
    58. Chunlin Wang & Paul Marriott & Pengfei Li, 2022. "A note on the coverage behaviour of bootstrap percentile confidence intervals for constrained parameters," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 85(7), pages 809-831, October.
    59. Arie Beresteanu & Ilya Molchanov & Francesca Molinari, 2008. "Sharp identification regions in games," CeMMAP working papers CWP15/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    60. Magnac, Thierry, 2014. "Identification partielle: méthodes et conséquences pour les applications empiriques," TSE Working Papers 14-458, Toulouse School of Economics (TSE).
    61. Cheng, Xu, 2015. "Robust inference in nonlinear models with mixed identification strength," Journal of Econometrics, Elsevier, vol. 189(1), pages 207-228.
    62. Donald W.K. Andrews, 2011. "Similar-on-the-Boundary Tests for Moment Inequalities Exist, But Have Poor Power," Cowles Foundation Discussion Papers 1815, Cowles Foundation for Research in Economics, Yale University.
    63. Timothy B. Armstrong & Michal Koles'r, 2018. "Sensitivity Analysis using Approximate Moment Condition Models," Cowles Foundation Discussion Papers 2158R, Cowles Foundation for Research in Economics, Yale University, revised Feb 2019.
    64. Fakih, Ali & Makdissi, Paul & Marrouch, Walid & Tabri, Rami V. & Yazbeck, Myra, 2022. "A stochastic dominance test under survey nonresponse with an application to comparing trust levels in Lebanese public institutions," Journal of Econometrics, Elsevier, vol. 228(2), pages 342-358.
    65. Chen, Le-Yu & Szroeter, Jerzy, 2014. "Testing multiple inequality hypotheses: A smoothed indicator approach," Journal of Econometrics, Elsevier, vol. 178(P3), pages 678-693.
    66. Fan, Yanqin & Park, Sang Soo, 2012. "Confidence intervals for the quantile of treatment effects in randomized experiments," Journal of Econometrics, Elsevier, vol. 167(2), pages 330-344.
    67. Kyungchul Song, 2009. "Point Decisions for Interval-Identified Parameters," PIER Working Paper Archive 09-036, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    68. Xiaohong Chen & Timothy M. Christensen & Elie Tamer, 2017. "Monte Carlo confidence sets for identified sets," CeMMAP working papers 43/17, Institute for Fiscal Studies.
    69. Guggenberger, Patrik, 2010. "The impact of a Hausman pretest on the size of a hypothesis test: The panel data case," Journal of Econometrics, Elsevier, vol. 156(2), pages 337-343, June.
    70. Brendan Kline & Elie Tamer, 2016. "Bayesian inference in a class of partially identified models," Quantitative Economics, Econometric Society, vol. 7(2), pages 329-366, July.
    71. Ivan A. Canay & Azeem M. Shaikh, 2016. "Practical and theoretical advances in inference for partially identified models," CeMMAP working papers 05/16, Institute for Fiscal Studies.
    72. Jack Fosten & Daniel Gutknecht & Marc-Oliver Pohle, 2023. "Testing Quantile Forecast Optimality," Papers 2302.02747, arXiv.org, revised Oct 2023.
    73. Lok, Thomas M. & Tabri, Rami V., 2021. "An improved bootstrap test for restricted stochastic dominance," Journal of Econometrics, Elsevier, vol. 224(2), pages 371-393.
    74. Aviv Nevo & Adam Rosen, 2008. "Identification with imperfect instruments," CeMMAP working papers CWP16/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    75. Nicky L. Grant & Richard J. Smith, 2018. "GEL-Based Inference from Unconditional Moment Inequality Restrictions," Economics Discussion Paper Series 1802, Economics, The University of Manchester.
    76. Mathieu Marcoux & Thomas Russell & Yuanyuan Wan, 2023. "A Simple Specification Test for Models with Many Conditional Moment Inequalities," Working Papers tecipa-764, University of Toronto, Department of Economics.
    77. Nicky L. Grant & Richard J. Smith, 2018. "GEL-based inference with unconditional moment inequality restrictions," CeMMAP working papers CWP23/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    78. Hiroaki Kaido & Jiaxuan Li & Marc Rysman, 2018. "Moment Inequalities in the Context of Simulated and Predicted Variables," Papers 1804.03674, arXiv.org.
    79. Eileen Tipoe & Abi Adams & Ian Crawford, 2022. "Revealed preference analysis and bounded rationality [Consume now or later? Time inconsistency, collective choice and revealed preference]," Oxford Economic Papers, Oxford University Press, vol. 74(2), pages 313-332.
    80. Laura Coroneo & Valentina Corradi & Paulo Santos Monteiro, 2013. "Testing for optimal monetary policy via moment inequalities," Discussion Papers 13/07, Department of Economics, University of York.
    81. Donald W.K. Andrews & Xu Cheng & Patrik Guggenberger, 2011. "Generic Results for Establishing the Asymptotic Size of Confidence Sets and Tests," Cowles Foundation Discussion Papers 1813, Cowles Foundation for Research in Economics, Yale University.
    82. Laurens Cherchye & Thomas Demuynck & Bram De Rock, 2017. "Bounding counterfactual demand with unobserved heterogeneity and endogenous expenditures," Working Papers of Department of Economics, Leuven 598907, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
    83. Canay, Ivan A., 2010. "EL inference for partially identified models: Large deviations optimality and bootstrap validity," Journal of Econometrics, Elsevier, vol. 156(2), pages 408-425, June.
    84. Zheng Fang, 2021. "A Unifying Framework for Testing Shape Restrictions," Papers 2107.12494, arXiv.org, revised Aug 2021.
    85. Johan Vikström & Geert Ridder & Martin Weidner, 2016. "Bounds On Treatment Effects On Transitions," CeMMAP working papers 17/16, Institute for Fiscal Studies.
    86. Daniel Berkowitz & Mehmet Caner & Ying Fang, 2013. "The Validity of Instruments Revisited," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    87. Byunghoon Kang, 2018. "Inference in Nonparametric Series Estimation with Specification Searches for the Number of Series Terms," Working Papers 240829404, Lancaster University Management School, Economics Department.
    88. Armstrong, Timothy B. & Chan, Hock Peng, 2016. "Multiscale adaptive inference on conditional moment inequalities," Journal of Econometrics, Elsevier, vol. 194(1), pages 24-43.
    89. Firmin Doko Tchatoka & Wenjie Wang, 2015. "On Bootstrap Validity for Subset Anderson-Rubin Test in IV Regressions," School of Economics and Public Policy Working Papers 2015-01, University of Adelaide, School of Economics and Public Policy.
    90. Francesca Molinari, 2019. "Econometrics with Partial Identification," CeMMAP working papers CWP25/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    91. Fan, Yanqin & Park, Sang Soo, 2010. "Confidence sets for some partially identified parameters," MPRA Paper 37149, University Library of Munich, Germany.
    92. Armstrong, Timothy B., 2015. "Asymptotically exact inference in conditional moment inequality models," Journal of Econometrics, Elsevier, vol. 186(1), pages 51-65.
    93. Sasaki, Yuya & Takahashi, Yuya & Xin, Yi & Hu, Yingyao, 2023. "Dynamic discrete choice models with incomplete data: Sharp identification," Journal of Econometrics, Elsevier, vol. 236(1).
    94. Morales, Eduardo & Sheu, Gloria & Zahler, Andrés, 2011. "Gravity and extended gravity: estimating a structural model of export entry," MPRA Paper 30311, University Library of Munich, Germany.
    95. Yuan Liao & Anna Simoni, 2016. "Bayesian Inference for Partially Identified Convex Models: Is it Valid for Frequentist Inference?," Departmental Working Papers 201607, Rutgers University, Department of Economics.
    96. Denis Chetverikov, 2012. "Adaptive test of conditional moment inequalities," CeMMAP working papers 36/12, Institute for Fiscal Studies.
    97. Shi, Xiaoxia, 2015. "Model selection tests for moment inequality models," Journal of Econometrics, Elsevier, vol. 187(1), pages 1-17.
    98. Bei, Xinyue, 2024. "Local linearization based subvector inference in moment inequality models," Journal of Econometrics, Elsevier, vol. 238(1).
    99. Ariel Pakes, 2008. "Theory and Empirical Work on Imperfectly Competitive Markets," NBER Working Papers 14117, National Bureau of Economic Research, Inc.
    100. Andrews, Donald W.K. & Guggenberger, Patrik, 2009. "Incorrect asymptotic size of subsampling procedures based on post-consistent model selection estimators," Journal of Econometrics, Elsevier, vol. 152(1), pages 19-27, September.
    101. Kaido, Hiroaki, 2016. "A dual approach to inference for partially identified econometric models," Journal of Econometrics, Elsevier, vol. 192(1), pages 269-290.
    102. Yu‐Chin Hsu & Shu Shen, 2021. "Testing monotonicity of conditional treatment effects under regression discontinuity designs," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(3), pages 346-366, April.

  8. Donald W.K. Andrews & Patrik Guggenberger, 2007. "The Limit of Finite-Sample Size and a Problem with Subsampling," Cowles Foundation Discussion Papers 1605, Cowles Foundation for Research in Economics, Yale University.

    Cited by:

    1. Martin Huber & Giovanni Mellace, 2015. "Testing Instrument Validity for LATE Identification Based on Inequality Moment Constraints," The Review of Economics and Statistics, MIT Press, vol. 97(2), pages 398-411, May.
    2. Otsu, Taisuke, 2010. "On Bahadur efficiency of empirical likelihood," Journal of Econometrics, Elsevier, vol. 157(2), pages 248-256, August.
    3. Moon, Hyungsik Roger & Schorfheide, Frank, 2009. "Estimation with overidentifying inequality moment conditions," Journal of Econometrics, Elsevier, vol. 153(2), pages 136-154, December.
    4. Donald W.K. Andrews & Patrik Guggenberger, 2007. "Hybrid and Size-Corrected Subsample Methods," Cowles Foundation Discussion Papers 1606, Cowles Foundation for Research in Economics, Yale University.
    5. Christopher J. Bennett, 2009. "Consistent and Asymptotically Unbiased MinP Tests of Multiple Inequality Moment Restrictions," Vanderbilt University Department of Economics Working Papers 0908, Vanderbilt University Department of Economics.

  9. Donald W.K. Andrews & Patrik Guggenberger, 2007. "Asymptotics for Stationary Very Nearly Unit Root Processes," Cowles Foundation Discussion Papers 1607, Cowles Foundation for Research in Economics, Yale University.

    Cited by:

    1. Tianxiao Pang & Danna Zhang & Terence Tai-Leung Chong, 2014. "Asymptotic Inferences For An Ar(1) Model With A Change Point: Stationary And Nearly Non-Stationary Cases," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(2), pages 133-150, March.
    2. Pang, Tianxiao & Zhang, Danna & Chong, Terence Tai-Leung, 2013. "Asymptotic Inferences for an AR(1) Model with a Change Point: Stationary and Nearly Non-stationary Cases," MPRA Paper 55312, University Library of Munich, Germany.
    3. Jason R. Blevins, 2013. "Non-Standard Rates of Convergence of Criterion-Function-Based Set Estimators," Working Papers 13-02, Ohio State University, Department of Economics.
    4. Caroline Jardet & Alain Monfort & Fulvio Pegoraro, 2009. "No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth," Working papers 234, Banque de France.
    5. Chevillon, Guillaume & Mavroeidis, Sophocles, 2011. "Learning generates Long Memory," ESSEC Working Papers WP1113, ESSEC Research Center, ESSEC Business School.
    6. Giraitis, L. & Kapetanios, G. & Yates, T., 2014. "Inference on stochastic time-varying coefficient models," Journal of Econometrics, Elsevier, vol. 179(1), pages 46-65.
    7. Chevillon, Guillaume & Mavroeidis, Sophocles, 2018. "Perpetual learning and apparent long memory," Journal of Economic Dynamics and Control, Elsevier, vol. 90(C), pages 343-365.
    8. Nannan Ma & Hailin Sang & Guangyu Yang, 2023. "Least absolute deviation estimation for AR(1) processes with roots close to unity," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 75(5), pages 799-832, October.
    9. Skrobotov, Anton (Скроботов, Антон) & Turuntseva, Marina (Турунцева, Марина), 2017. "Testing the Hypothesis of a Unit Root for Independent Panels [Тестирование Гипотезы О Наличии Единичного Корня Для Независимых Панелей]," Working Papers 021707, Russian Presidential Academy of National Economy and Public Administration.

  10. Donald W.K. Andrews & Patrik Guggenberger, 2007. "Hybrid and Size-Corrected Subsample Methods," Cowles Foundation Discussion Papers 1606, Cowles Foundation for Research in Economics, Yale University.

    Cited by:

    1. Donald W. K. Andrews & Patrik Guggenberger, 2008. "Asymptotics for stationary very nearly unit root processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(1), pages 203-212, January.
    2. Donald W. K. Andrews & Patrik Guggenberger, 2014. "A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter," The Review of Economics and Statistics, MIT Press, vol. 96(2), pages 376-381, May.
    3. Patrik Guggenberger, "undated". "Asymptotics for Stationary Very Nearly Unit Root Processes (joint with D.W.K. Andrews), this version November 2006," UCLA Economics Online Papers 402, UCLA Department of Economics.

  11. Patrik Guggenberger, 2006. "Finite-Sample Evidence Suggesting a Heavy Tail Problem of the Generalized Empirical Likelihood Estimator, accepted for publication, Econometric Reviews," UCLA Economics Online Papers 371, UCLA Department of Economics.

    Cited by:

    1. Alain Guay & Florian Pelgrin, 2007. "Using Implied Probabilities to Improve Estimation with Unconditional Moment Restrictions," Cahiers de recherche 0747, CIRPEE.

  12. Guggenberger, Patrik & Sun, Yixiao, 2004. "Bias-Reduced Log-Periodogram and Whittle Estimation of the Long-Memory Parameter Without Variance Inflation," University of California at San Diego, Economics Working Paper Series qt2z99w4sm, Department of Economics, UC San Diego.

    Cited by:

    1. Arteche, Josu & Orbe, Jesus, 2009. "Using the bootstrap for finite sample confidence intervals of the log periodogram regression," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 1940-1953, April.
    2. Kanchana Nadarajah & Gael M Martin & Donald S Poskitt, 2019. "Optimal Bias Correction of the Log-periodogram Estimator of the Fractional Parameter: A Jackknife Approach," Monash Econometrics and Business Statistics Working Papers 7/19, Monash University, Department of Econometrics and Business Statistics.
    3. Uwe Hassler, 2011. "Estimation of fractional integration under temporal aggregation," Post-Print hal-00815563, HAL.
    4. Valdério A. Reisen & Eric Moulines & Philippe Soulier & Glaura C. Franco, 2010. "On the properties of the periodogram of a stationary long‐memory process over different epochs with applications," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(1), pages 20-36, January.
    5. Saeed Heravi & Kerry Patterson, 2013. "Log-Periodogram Estimation of the Long-Memory Parameter: An Evaluation of Competing Estimators," Economics Discussion Papers em-dp2013-02, Department of Economics, University of Reading.
    6. Victoria Zinde-Walsh, 2008. "Consequences of lack of smoothness in nonparametric estimation (in Russian)," Quantile, Quantile, issue 4, pages 57-69, March.
    7. Yoonseok Lee & Yu Zhou, 2015. "Averaged Instrumental Variables Estimators," Center for Policy Research Working Papers 180, Center for Policy Research, Maxwell School, Syracuse University.

  13. Guggenberger, Patrik & Kaul, Ashok & Kolmar, Martin, 2001. "Efficiency Properties of Labor Taxation in a Spatial Model of Restricted Labor Mobility," IZA Discussion Papers 287, Institute of Labor Economics (IZA).

    Cited by:

    1. Lutz, Stefan & Turrini, Alessandro, 2006. "A general equilibrium model with vertically differentiated industries, skilled labour and trade," Economic Modelling, Elsevier, vol. 23(1), pages 1-19, January.
    2. Kolmar, Martin, 2007. "Beveridge versus Bismarck public-pension systems in integrated markets," Regional Science and Urban Economics, Elsevier, vol. 37(6), pages 649-669, November.

  14. Donald W.K. Andrews & Patrik Guggenberger, 2000. "A Bias-Reduced Log-Periodogram Regression Estimator for the Long-Memory Parameter," Cowles Foundation Discussion Papers 1263, Cowles Foundation for Research in Economics, Yale University.

    Cited by:

    1. Marcel Aloy & Gilles de Truchis, 2012. "Estimation and Testing for Fractional Cointegration," AMSE Working Papers 1215, Aix-Marseille School of Economics, France.
    2. Fillol, Jerome, 2007. "Estimating long memory: Scaling function vs Andrews and Guggenberger GPH," Economics Letters, Elsevier, vol. 95(2), pages 309-314, May.
    3. Morten Ø. Nielsen & Per Houmann Frederiksen, 2005. "Finite Sample Comparison Of Parametric, Semiparametric, And Wavelet Estimators Of Fractional Integration," Working Paper 1189, Economics Department, Queen's University.
    4. Arteche, Josu & Orbe, Jesus, 2009. "Using the bootstrap for finite sample confidence intervals of the log periodogram regression," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 1940-1953, April.
    5. McMillan, David G., 2009. "The confusing time-series behaviour of real exchange rates: Are asymmetries important?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(4), pages 692-711, October.
    6. Mohamed Chikhi & Anne Peguin-Feissolle & Michel Terraza, 2013. "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," Post-Print hal-01499630, HAL.
    7. Pierre Perron & Zhongjun Qu, 2008. "Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices," Boston University - Department of Economics - Working Papers Series wp2008-004, Boston University - Department of Economics.
    8. Barros, Carlos Pestana & Gil-Alana, Luis A. & Payne, James E., 2012. "Comovements among U.S. state housing prices: Evidence from fractional cointegration," Economic Modelling, Elsevier, vol. 29(3), pages 936-942.
    9. Smallwood Aaron D, 2005. "Joint Tests for Non-linearity and Long Memory: The Case of Purchasing Power Parity," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(2), pages 1-30, June.
    10. Mccloskey, Adam & Perron, Pierre, 2013. "Memory Parameter Estimation In The Presence Of Level Shifts And Deterministic Trends," Econometric Theory, Cambridge University Press, vol. 29(6), pages 1196-1237, December.
    11. Less, Vivien & Sibbertsen, Philipp, 2022. "Estimation and Testing in a Perturbed Multivariate Long Memory Framework," Hannover Economic Papers (HEP) dp-704, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    12. Luis Miguel Doncel & Pilar Grau-Carles & Jorge Sainz, 2009. "On the long-term behavior of mutual fund returns," Quantitative Finance, Taylor & Francis Journals, vol. 9(6), pages 653-660.
    13. Auer, Benjamin R., 2016. "On time-varying predictability of emerging stock market returns," Emerging Markets Review, Elsevier, vol. 27(C), pages 1-13.
    14. Aaron Smallwood, 2004. "Joint Tests for Long Memory and Non-linearity: The Case of Purchasing Power Parity," Computing in Economics and Finance 2004 23, Society for Computational Economics.
    15. George Kapetanios & Zacharias Psaradakis, 2006. "Sieve Bootstrap for Strongly Dependent Stationary Processes," Working Papers 552, Queen Mary University of London, School of Economics and Finance.
    16. Marzio Galeotti & Matteo Manera & Alessandro Lanza, 2009. "On the Robustness of Robustness Checks of the Environmental Kuznets Curve Hypothesis," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 42(4), pages 551-574, April.
    17. Kanchana Nadarajah & Gael M Martin & Donald S Poskitt, 2019. "Optimal Bias Correction of the Log-periodogram Estimator of the Fractional Parameter: A Jackknife Approach," Monash Econometrics and Business Statistics Working Papers 7/19, Monash University, Department of Econometrics and Business Statistics.
    18. Liudas Giraitis & Peter M Robinson, 2002. "Edgeworth Expansions for Semiparametric Whittle Estimation of Long Memory," STICERD - Econometrics Paper Series 438, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    19. Frank S. Nielsen & Morten Ø. Nielsen & Per Houmann Frederiksen, 2009. "Local Polynomial Whittle Estimation Of Perturbed Fractional Processes," Working Paper 1218, Economics Department, Queen's University.
    20. Hiremath, Gourishankar S & Bandi, Kamaiah, 2011. "Testing Long Memory in Stock Returns of Emerging Markets: Some Further Evidence," MPRA Paper 48517, University Library of Munich, Germany.
    21. Robinson, Peter M. & Henry, Marc, 2003. "Higher-order kernel semiparametric M-estimation of long memory," Journal of Econometrics, Elsevier, vol. 114(1), pages 1-27, May.
    22. Davidson, James & Sibbertsen, Philipp, 2005. "Tests of Bias in Log-Periodogram Regression," Hannover Economic Papers (HEP) dp-317, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    23. Javier Haulde & Morten Ørregaard Nielsen, 2022. "Fractional integration and cointegration," CREATES Research Papers 2022-02, Department of Economics and Business Economics, Aarhus University.
    24. Heni Boubaker & Giorgio Canarella & Rangan Gupta & Stephen M. Miller, 2020. "Hybrid ARFIMA Wavelet Artificial Neural Network Model for DJIA Index Forecasting," Working Papers 202056, University of Pretoria, Department of Economics.
    25. Faÿ, Gilles & Moulines, Eric & Roueff, François & Taqqu, Murad S., 2009. "Estimators of long-memory: Fourier versus wavelets," Journal of Econometrics, Elsevier, vol. 151(2), pages 159-177, August.
    26. Claude Diebolt & Mohamed Chikhi, 2021. "Testing The Weak Form Efficiency Of The French Etf Market With Lstar-Anlstgarch Approach Using A Semiparametric Estimation," Working Papers 09-21, Association Française de Cliométrie (AFC).
    27. Grace Yap & Wen Cheong Chin, 2016. "Spectral bandwidth selection for long memory," Modern Applied Science, Canadian Center of Science and Education, vol. 10(8), pages 1-63, August.
    28. Cassola, Nuno & Morana, Claudio, 2010. "Comovements in volatility in the euro money market," Journal of International Money and Finance, Elsevier, vol. 29(3), pages 525-539, April.
    29. Patrick Krieger & Carsten Lausberg & Kristin Wellner, 2018. "Einblicke in die Gründe für nicht-normalverteilte Immobilienrenditen: eine explorative Untersuchung deutscher Wohnimmobilienportfolios [Insights into the reasons for non-normal real estate returns:," Zeitschrift für Immobilienökonomie (German Journal of Real Estate Research), Springer;Gesellschaft für Immobilienwirtschaftliche Forschung e. V., vol. 4(1), pages 49-79, November.
    30. Giraitis, Liudas & Robinson, Peter, 2002. "Edgeworth expansions for semiparametric Whittle estimation of long memory," LSE Research Online Documents on Economics 2130, London School of Economics and Political Science, LSE Library.
    31. de Truchis, Gilles, 2013. "Approximate Whittle analysis of fractional cointegration and the stock market synchronization issue," Economic Modelling, Elsevier, vol. 34(C), pages 98-105.
    32. Fillol, Jerome & Tripier, Fabien, 2004. "The scaling function-based estimator of long memory in the presence of a short-term component," Economics Letters, Elsevier, vol. 84(1), pages 49-54, July.
    33. Marcel Scharth & Marcelo Cunha Medeiros, 2006. "Asymmetric effects and long memory in the volatility of Dow Jones stocks," Textos para discussão 532, Department of Economics PUC-Rio (Brazil).
    34. Hadhri, Sinda & Ftiti, Zied, 2019. "Commonality in liquidity among Middle East and North Africa emerging stock markets: Does it really matter?," Economic Systems, Elsevier, vol. 43(3).
    35. Yixiao Sun & Peter C.B. Phillips, 2002. "Nonlinear Log-Periodogram Regression for Perturbed Fractional Processes," Cowles Foundation Discussion Papers 1366, Cowles Foundation for Research in Economics, Yale University.
    36. Morana, Claudio, 2006. "A small scale macroeconometric model for the Euro-12 area," Economic Modelling, Elsevier, vol. 23(3), pages 391-426, May.
    37. Joon Y. Park & J. Isaac Miller, 2004. "Nonlinearity, Nonstationarity, and Thick Tails: How They Interact to Generate Persistency in Memory," Econometric Society 2004 North American Summer Meetings 597, Econometric Society.
    38. Uwe Hassler, 2011. "Estimation of fractional integration under temporal aggregation," Post-Print hal-00815563, HAL.
    39. Per Frederiksen & Frank S. Nielsen, 2008. "Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood," CREATES Research Papers 2008-59, Department of Economics and Business Economics, Aarhus University.
    40. Arteche, J., 2006. "Semiparametric estimation in perturbed long memory series," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2118-2141, December.
    41. Reikard, Gordon & Hansen, Clifford, 2019. "Forecasting solar irradiance at short horizons: Frequency and time domain models," Renewable Energy, Elsevier, vol. 135(C), pages 1270-1290.
    42. Slim Chaouachi & Zied Ftiti & Frederic Teulon, 2014. "Explaining the Tunisian Real Exchange: Long Memory versus Structural Breaks," Working Papers 2014-147, Department of Research, Ipag Business School.
    43. Zied Ftiti & Slim Chaouachi, 2018. "What Can We Learn About the Real Exchange Rate Behavior in the Case of a Peripheral Country?," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 16(3), pages 681-707, September.
    44. Tommaso Proietti & Alessandra Luati, 2013. "The Exponential Model for the Spectrum of a Time Series: Extensions and Applications," CREATES Research Papers 2013-34, Department of Economics and Business Economics, Aarhus University.
    45. Claudio Morana, 2006. "Multivariate modelling of long memory processes with common components," ICER Working Papers 40-2006, ICER - International Centre for Economic Research.
    46. Benjamin Rainer Auer, 2018. "Are standard asset pricing factors long-range dependent?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 42(1), pages 66-88, January.
    47. Valdério A. Reisen & Eric Moulines & Philippe Soulier & Glaura C. Franco, 2010. "On the properties of the periodogram of a stationary long‐memory process over different epochs with applications," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(1), pages 20-36, January.
    48. Federico M. Bandi & Benoit Perron, 2006. "Long Memory and the Relation Between Implied and Realized Volatility," Journal of Financial Econometrics, Oxford University Press, vol. 4(4), pages 636-670.
    49. Pece Andreea Maria & Ludusan (Corovei) Emilia Anuta & Mutu Simona, 2013. "Testing The Long Range-Dependence For The Central Eastern European And The Balkans Stock Markets," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 1113-1124, July.
    50. Abderrazak Ben Maatoug & Rim Lamouchi & Russell Davidson & Ibrahim Fatnassi, 2018. "Modelling Foreign Exchange Realized Volatility Using High Frequency Data: Long Memory versus Structural Breaks," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 10(1), pages 1-25, March.
    51. Heni Boubaker & Giorgio Canarella & Rangan Gupta & Stephen M. Miller, 2018. "Long-Memory Modeling and Forecasting: Evidence from the U.S. Historical Series of Inflation," Working Papers 201869, University of Pretoria, Department of Economics.
    52. Giraitis, L. & Robinson, P.M., 2003. "Edgeworth expansions for semiparametric Whittle estimation of long memory," LSE Research Online Documents on Economics 291, London School of Economics and Political Science, LSE Library.
    53. Tomasz Wójtowicz & Henryk Gurgul, 2009. "Long memory of volatility measures in time series," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 19(1), pages 37-54.
    54. Frank S. Nielsen, 2008. "Local polynomial Whittle estimation covering non-stationary fractional processes," CREATES Research Papers 2008-28, Department of Economics and Business Economics, Aarhus University.
    55. J. Eduardo Vera-Valdés, 2021. "Temperature Anomalies, Long Memory, and Aggregation," Econometrics, MDPI, vol. 9(1), pages 1-22, March.
    56. Henryk Gurgul & Tomasz Wójtowicz, 2006. "Long-run properties of trading volume and volatility of equities listed in DJIA index," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 16(3-4), pages 29-56.
    57. Haldrup, Niels & Vera Valdés, J. Eduardo, 2017. "Long memory, fractional integration, and cross-sectional aggregation," Journal of Econometrics, Elsevier, vol. 199(1), pages 1-11.
    58. Aaron Smallwood; Alex Maynard; Mark Wohar, 2005. "The Long and the Short of It: Long Memory Regressors and Predictive Regressions," Computing in Economics and Finance 2005 384, Society for Computational Economics.
    59. Jia Li & Peter C. B. Phillips & Shuping Shi & Jun Yu, 2022. "Weak Identification of Long Memory with Implications for Inference," Cowles Foundation Discussion Papers 2334, Cowles Foundation for Research in Economics, Yale University.
    60. Miller, J. Isaac & Park, Joon Y., 2005. "How They Interact to Generate Persistency in Memory," Working Papers 2005-01, Rice University, Department of Economics.
    61. Uwe Hassler & Marc-Oliver Pohle, 2019. "Forecasting under Long Memory and Nonstationarity," Papers 1910.08202, arXiv.org.
    62. Saeed Heravi & Kerry Patterson, 2013. "Log-Periodogram Estimation of the Long-Memory Parameter: An Evaluation of Competing Estimators," Economics Discussion Papers em-dp2013-02, Department of Economics, University of Reading.
    63. García-Enríquez, Javier & Hualde, Javier, 2019. "Local Whittle estimation of long memory: Standard versus bias-reducing techniques," Econometrics and Statistics, Elsevier, vol. 12(C), pages 66-77.
    64. Clifford Hurvich & Eric Moulines & Philippe Soulier, 2004. "Estimating Long Memory in Volatility," Econometrics 0412006, University Library of Munich, Germany.
    65. Jin Lee, 2004. "Wavelet transform for log periodogram regression in long memory stochastic volatility model," Econometric Society 2004 Far Eastern Meetings 682, Econometric Society.
    66. Heni Boubaker, 2016. "A Comparative Study of the Performance of Estimating Long-Memory Parameter Using Wavelet-Based Entropies," Computational Economics, Springer;Society for Computational Economics, vol. 48(4), pages 693-731, December.
    67. Josu Arteche & Jesus Orbe, 2009. "Bootstrap‐based bandwidth choice for log‐periodogram regression," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(6), pages 591-617, November.
    68. Mohamed Chikhi & Claude Diebolt, 2019. "Testing Nonlinearity through a Logistic Smooth Transition AR Model with Logistic Smooth Transition GARCH Errors," Working Papers 03-19, Association Française de Cliométrie (AFC).
    69. Huang, Teng-Ching & Tu, Yu-Chen & Chou, Heng-Chih, 2015. "Long memory and the relation between options and stock prices," Finance Research Letters, Elsevier, vol. 12(C), pages 77-91.
    70. Azad, A.S.M. Sohel & Azmat, Saad & Fang, Victor & Edirisuriya, Piyadasa, 2014. "Unchecked manipulations, price–volume relationship and market efficiency: Evidence from emerging markets," Research in International Business and Finance, Elsevier, vol. 30(C), pages 51-71.
    71. Auer, Benjamin R., 2016. "On the performance of simple trading rules derived from the fractal dynamics of gold and silver price fluctuations," Finance Research Letters, Elsevier, vol. 16(C), pages 255-267.
    72. Lee, Jin, 2005. "Estimating memory parameter in the US inflation rate," Economics Letters, Elsevier, vol. 87(2), pages 207-210, May.
    73. Benjamin R Auer, 2016. "Pure return persistence, Hurst exponents and hedge fund selection – A practical note," Journal of Asset Management, Palgrave Macmillan, vol. 17(5), pages 319-330, September.
    74. Baillie, Richard T. & Kongcharoen, Chaleampong & Kapetanios, George, 2012. "Prediction from ARFIMA models: Comparisons between MLE and semiparametric estimation procedures," International Journal of Forecasting, Elsevier, vol. 28(1), pages 46-53.
    75. Heni Boubaker, 2020. "Wavelet Estimation Performance of Fractional Integrated Processes with Heavy-Tails," Computational Economics, Springer;Society for Computational Economics, vol. 55(2), pages 473-498, February.
    76. D.S. Poskitt & Gael M. Martin & Simone D. Grose, 2014. "Bias Reduction of Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap," Monash Econometrics and Business Statistics Working Papers 10/14, Monash University, Department of Econometrics and Business Statistics.
    77. Ezzat, Hassan, 2013. "Long Memory Processes and Structural Breaks in Stock Returns and Volatility: Evidence from the Egyptian Exchange," MPRA Paper 51465, University Library of Munich, Germany.
    78. P. S. Sephton, 2010. "Unit roots and purchasing power parity: another kick at the can," Applied Economics, Taylor & Francis Journals, vol. 42(27), pages 3439-3453.
    79. John Elder & Sriram Villupuram, 2012. "Persistence in the return and volatility of home price indices," Applied Financial Economics, Taylor & Francis Journals, vol. 22(22), pages 1855-1868, November.

  15. Patrik Guggenberger, "undated". "Applications of Subsampling, Hybrid, and Size-Correction Methods (joint with D.W.K. Andrews), 2005, this version May 2007," UCLA Economics Online Papers 414, UCLA Department of Economics.

    Cited by:

    1. Humberto Moreira & Marcelo Moreira, 2016. "Optimal two-sided tests for instrumental variables regression with heteroskedastic and autocorrelated errors," CeMMAP working papers CWP25/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    2. Gregory Fletcher Cox, 2024. "A Simple and Adaptive Confidence Interval when Nuisance Parameters Satisfy an Inequality," Papers 2409.09962, arXiv.org.
    3. Doko Tchatoka, Firmin & Wang, Wenjie, 2021. "Uniform Inference after Pretesting for Exogeneity with Heteroskedastic Data," MPRA Paper 106408, University Library of Munich, Germany.
    4. Humberto Moreira & Marcelo Moreira, 2016. "Optimal two-sided tests for instrumental variables regression with heteroskedastic and autocorrelated errors," CeMMAP working papers 25/16, Institute for Fiscal Studies.
    5. Doko Tchatoka, Firmin & Wang, Wenjie, 2021. "Size-corrected Bootstrap Test after Pretesting for Exogeneity with Heteroskedastic or Clustered Data," MPRA Paper 110899, University Library of Munich, Germany.
    6. Firmin Doko Tchatoka & Wenjie Wang, 2020. "Uniform Inference after Pretesting for Exogeneity," School of Economics and Public Policy Working Papers 2020-05, University of Adelaide, School of Economics and Public Policy.
    7. Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani, 2006. "Robust Subsampling," Swiss Finance Institute Research Paper Series 06-33, Swiss Finance Institute.
    8. Ketz, Philipp, 2019. "On asymptotic size distortions in the random coefficients logit model," Journal of Econometrics, Elsevier, vol. 212(2), pages 413-432.
    9. Wang, Wenjie & Doko Tchatoka, Firmin, 2018. "On Bootstrap inconsistency and Bonferroni-based size-correction for the subset Anderson–Rubin test under conditional homoskedasticity," Journal of Econometrics, Elsevier, vol. 207(1), pages 188-211.
    10. Philipp Ketz, 2018. "Subvector inference when the true parameter vector may be near or at the boundary," Post-Print halshs-01884381, HAL.
    11. Doko Tchatoka, Firmin & Wang, Wenjie, 2024. "Weak-Identification-Robust Bootstrap Tests after Pretesting for Exogeneity," MPRA Paper 123060, University Library of Munich, Germany.
    12. Elliott, Graham & Müller, Ulrich K., 2014. "Pre and post break parameter inference," Journal of Econometrics, Elsevier, vol. 180(2), pages 141-157.
    13. Adam McCloskey, 2012. "Bonferroni-Based Size-Correction for Nonstandard Testing Problems," Working Papers 2012-16, Brown University, Department of Economics.
    14. Gregory Cox, 2022. "A Generalized Argmax Theorem with Applications," Papers 2209.08793, arXiv.org.
    15. Mills, Benjamin & Moreira, Marcelo J. & Vilela, Lucas P., 2014. "Tests based on t-statistics for IV regression with weak instruments," Journal of Econometrics, Elsevier, vol. 182(2), pages 351-363.
    16. Andrews, Donald W.K. & Guggenberger, Patrik, 2009. "Incorrect asymptotic size of subsampling procedures based on post-consistent model selection estimators," Journal of Econometrics, Elsevier, vol. 152(1), pages 19-27, September.
    17. Guggenberger, Patrik & Ramalho, Joaquim J.S. & Smith, Richard J., 2012. "GEL statistics under weak identification," Journal of Econometrics, Elsevier, vol. 170(2), pages 331-349.

Articles

  1. Andrews, Donald W.K. & Guggenberger, Patrik, 2017. "Asymptotic Size Of Kleibergen’S Lm And Conditional Lr Tests For Moment Condition Models," Econometric Theory, Cambridge University Press, vol. 33(5), pages 1046-1080, October.
    See citations under working paper version above.
  2. Donald W. K. Andrews & Patrik Guggenberger, 2014. "A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter," The Review of Economics and Statistics, MIT Press, vol. 96(2), pages 376-381, May.
    See citations under working paper version above.
  3. Patrik Guggenberger & Gitanjali Kumar, 2012. "On the size distortion of tests after an overidentifying restrictions pretest," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(7), pages 1138-1160, November.

    Cited by:

    1. Doko Tchatoka, Firmin & Wang, Wenjie, 2021. "Uniform Inference after Pretesting for Exogeneity with Heteroskedastic Data," MPRA Paper 106408, University Library of Munich, Germany.
    2. Doko Tchatoka, Firmin & Wang, Wenjie, 2021. "Size-corrected Bootstrap Test after Pretesting for Exogeneity with Heteroskedastic or Clustered Data," MPRA Paper 110899, University Library of Munich, Germany.
    3. Firmin Doko Tchatoka & Wenjie Wang, 2020. "Uniform Inference after Pretesting for Exogeneity," School of Economics and Public Policy Working Papers 2020-05, University of Adelaide, School of Economics and Public Policy.
    4. DiTraglia, Francis J., 2016. "Using invalid instruments on purpose: Focused moment selection and averaging for GMM," Journal of Econometrics, Elsevier, vol. 195(2), pages 187-208.
    5. Doko Tchatoka, Firmin & Wang, Wenjie, 2024. "Weak-Identification-Robust Bootstrap Tests after Pretesting for Exogeneity," MPRA Paper 123060, University Library of Munich, Germany.
    6. Francis J. DiTraglia, 2011. "Using Invalid Instruments on Purpose: Focused Moment Selection and Averaging for GMM, Second Version," PIER Working Paper Archive 14-045, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 09 Dec 2014.
    7. Francis DiTraglia, 2011. "Using Invalid Instruments on Purpose: Focused Moment Selection and Averaging for GMM, Second Version," PIER Working Paper Archive 15-027, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 10 Aug 2015.
    8. Seojeong Lee, 2013. "Asymptotic Refinements of a Misspecification-Robust Bootstrap for Generalized Method of Moments Estimators," Discussion Papers 2013-09, School of Economics, The University of New South Wales.
    9. Khoo, Joye & Cheung, Adrian (Wai Kong), 2024. "Firms' organisation capital: Do peers matter?," International Review of Financial Analysis, Elsevier, vol. 96(PA).
    10. Philipp Ketz, 2019. "Testing overidentifying restrictions with a restricted parameter space," Post-Print halshs-02492665, HAL.
    11. Ashish Patel & Dipender Gill & Paul Newcombe & Stephen Burgess, 2023. "Conditional inference in cis‐Mendelian randomization using weak genetic factors," Biometrics, The International Biometric Society, vol. 79(4), pages 3458-3471, December.
    12. Weber, Caroline E., 2014. "Toward obtaining a consistent estimate of the elasticity of taxable income using difference-in-differences," Journal of Public Economics, Elsevier, vol. 117(C), pages 90-103.
    13. Naoya Sueishi, 2022. "A Misuse of Specification Tests," Papers 2211.11915, arXiv.org.

  4. Guggenberger, Patrik, 2012. "A note on the (in)consistency of the test of overidentifying restrictions and the concepts of true and pseudo-true parameters," Economics Letters, Elsevier, vol. 117(3), pages 901-904.

    Cited by:

    1. Matthew A. Masten & Alexandre Poirier, 2021. "Salvaging Falsified Instrumental Variable Models," Econometrica, Econometric Society, vol. 89(3), pages 1449-1469, May.
    2. Jan F. Kiviet, 2016. "Discriminating between (in)valid external instruments and (in)valid exclusion restrictions," Economic Growth Centre Working Paper Series 1508, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
    3. Philipp Ketz, 2019. "Testing overidentifying restrictions with a restricted parameter space," Post-Print halshs-02492665, HAL.
    4. Jochmans, K. & Verardi, V., 2019. "Instrumental-Variable Estimation of Gravity Equations," Cambridge Working Papers in Economics 1994, Faculty of Economics, University of Cambridge.

  5. Patrik Guggenberger & Frank Kleibergen & Sophocles Mavroeidis & Linchun Chen, 2012. "On the Asymptotic Sizes of Subset Anderson–Rubin and Lagrange Multiplier Tests in Linear Instrumental Variables Regression," Econometrica, Econometric Society, vol. 80(6), pages 2649-2666, November.

    Cited by:

    1. Khalaf, Lynda & Lin, Zhenjiang, 2021. "Projection-based inference with particle swarm optimization," Journal of Economic Dynamics and Control, Elsevier, vol. 128(C).
    2. Yinchu Zhu, 2018. "Learning non-smooth models: instrumental variable quantile regressions and related problems," Papers 1805.06855, arXiv.org, revised Sep 2019.
    3. Patrik Guggenberge & Frank Kleibergen & Sophocles Mavroeidis, 2021. "A Powerful Subvector Anderson Rubin Test in Linear Instrumental Variables Regression with Conditional Heteroskedasticity," Economics Series Working Papers 960, University of Oxford, Department of Economics.
    4. Donald W. K. Andrews & Patrik Guggenberger, 2015. "Identification- and Singularity-Robust Inference for Moment Condition," Cowles Foundation Discussion Papers 1978R2, Cowles Foundation for Research in Economics, Yale University, revised Jan 2019.
    5. Frank Kleibergen & Zhaoguo Zhan, 2021. "Double robust inference for continuous updating GMM," Papers 2105.08345, arXiv.org.
    6. Mikusheva, Anna, 2013. "Survey on statistical inferences in weakly-identified instrumental variable models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 29(1), pages 117-131.
    7. Wang, Wenjie, 2021. "Wild Bootstrap for Instrumental Variables Regression with Weak Instruments and Few Clusters," MPRA Paper 106227, University Library of Munich, Germany.
    8. Xu Cheng, 2014. "Uniform Inference in Nonlinear Models with Mixed Identification Strength," PIER Working Paper Archive 14-018, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    9. Christian Bontemps & Thierry Magnac, 2017. "Set identification, moment restrictions, and inference," Post-Print hal-01575813, HAL.
    10. Tetsuya Kaji, 2019. "Theory of Weak Identification in Semiparametric Models," Papers 1908.10478, arXiv.org, revised Aug 2020.
    11. Russell Davidson & James G. MacKinnon, 2015. "Bootstrap Tests for Overidentification in Linear Regression Models," Econometrics, MDPI, vol. 3(4), pages 1-39, December.
    12. Firmin Doko Tchatoka, 2014. "Specification Tests with Weak and Invalid Instruments," School of Economics and Public Policy Working Papers 2014-05, University of Adelaide, School of Economics and Public Policy.
    13. Wang, Wenjie, 2020. "On the Inconsistency of Nonparametric Bootstraps for the Subvector Anderson-Rubin Test," MPRA Paper 99109, University Library of Munich, Germany.
    14. Eric Gautier & Christiern Rose, 2022. "Fast, Robust Inference for Linear Instrumental Variables Models using Self-Normalized Moments," Papers 2211.02249, arXiv.org, revised Nov 2022.
    15. Kleibergen, Frank, 2021. "Efficient size correct subset inference in homoskedastic linear instrumental variables regression," Journal of Econometrics, Elsevier, vol. 221(1), pages 78-96.
    16. Wang, Wenjie & Doko Tchatoka, Firmin, 2018. "On Bootstrap inconsistency and Bonferroni-based size-correction for the subset Anderson–Rubin test under conditional homoskedasticity," Journal of Econometrics, Elsevier, vol. 207(1), pages 188-211.
    17. Wenjie Wang & Yichong Zhang, 2021. "Wild Bootstrap for Instrumental Variables Regressions with Weak and Few Clusters," Papers 2108.13707, arXiv.org, revised Jan 2024.
    18. Adam McCloskey, 2012. "Bonferroni-Based Size-Correction for Nonstandard Testing Problems," Working Papers 2012-16, Brown University, Department of Economics.
    19. Peter C. B. Phillips, 2022. "An Econometrician amongst Statisticians: T. W. Anderson," Cowles Foundation Discussion Papers 2333, Cowles Foundation for Research in Economics, Yale University.
    20. Cheng, Xu, 2015. "Robust inference in nonlinear models with mixed identification strength," Journal of Econometrics, Elsevier, vol. 189(1), pages 207-228.
    21. Pötscher, Benedikt M. & Preinerstorfer, David, 2016. "Controlling the Size of Autocorrelation Robust Tests," MPRA Paper 75657, University Library of Munich, Germany.
    22. Dennis Lim & Wenjie Wang & Yichong Zhang, 2024. "A Dimension-Agnostic Bootstrap Anderson-Rubin Test For Instrumental Variable Regressions," Papers 2412.01603, arXiv.org.
    23. Ludwig, Markus & Flückiger, Matthias, 2014. "Economic Shocks in the Fisheries Sector and Maritime Piracy," MPRA Paper 56959, University Library of Munich, Germany.
    24. Horowitz, Joel L., 2021. "Bounding the difference between true and nominal rejection probabilities in tests of hypotheses about instrumental variables models," Journal of Econometrics, Elsevier, vol. 222(2), pages 1057-1082.
    25. Marcellino, Massimiliano & Kapetanios, George & Khalaf, Lynda, 2015. "Factor based identification-robust inference in IV regressions," CEPR Discussion Papers 10390, C.E.P.R. Discussion Papers.
    26. Bun, Maurice J.G. & Kleibergen, Frank, 2022. "Identification Robust Inference For Moments-Based Analysis Of Linear Dynamic Panel Data Models," Econometric Theory, Cambridge University Press, vol. 38(4), pages 689-751, August.
    27. Frank Kleibergen & Lingwei Kong, 2023. "Identification Robust Inference for the Risk Premium in Term Structure Models," Papers 2307.12628, arXiv.org.
    28. Donald W.K. Andrews & Xu Cheng, 2011. "GMM Estimation and Uniform Subvector Inference with Possible Identification Failure," Cowles Foundation Discussion Papers 1828, Cowles Foundation for Research in Economics, Yale University.
    29. Donald W.K. Andrews & Xu Cheng & Patrik Guggenberger, 2011. "Generic Results for Establishing the Asymptotic Size of Confidence Sets and Tests," Cowles Foundation Discussion Papers 1813, Cowles Foundation for Research in Economics, Yale University.
    30. Xu Cheng & Winston Wei Dou & Zhipeng Liao, 2022. "Macro‐Finance Decoupling: Robust Evaluations of Macro Asset Pricing Models," Econometrica, Econometric Society, vol. 90(2), pages 685-713, March.
    31. Firmin Doko Tchatoka & Wenjie Wang, 2015. "On Bootstrap Validity for Subset Anderson-Rubin Test in IV Regressions," School of Economics and Public Policy Working Papers 2015-01, University of Adelaide, School of Economics and Public Policy.
    32. Forneron, Jean-Jacques, 2024. "Detecting identification failure in moment condition models," Journal of Econometrics, Elsevier, vol. 238(1).
    33. Malte Londschien & Peter Buhlmann, 2024. "Weak-instrument-robust subvector inference in instrumental variables regression: A subvector Lagrange multiplier test and properties of subvector Anderson-Rubin confidence sets," Papers 2407.15256, arXiv.org, revised Nov 2024.
    34. Matthias Flückiger & Markus Ludwig, 2018. "Youth Bulges and Civil Conflict," Journal of Conflict Resolution, Peace Science Society (International), vol. 62(9), pages 1932-1962, October.
    35. Gregory Cox, 2020. "Weak Identification with Bounds in a Class of Minimum Distance Models," Papers 2012.11222, arXiv.org, revised Dec 2022.
    36. Khalaf, Lynda & Urga, Giovanni, 2014. "Identification robust inference in cointegrating regressions," Journal of Econometrics, Elsevier, vol. 182(2), pages 385-396.
    37. Jin-hui Luo & Zeyue Huang & Ruichao Zhu, 2021. "Does media coverage help firms “lobby” for government subsidies? Evidence from China," Asia Pacific Journal of Management, Springer, vol. 38(1), pages 259-290, March.
    38. Frank Kleibergen & Lingwei Kong & Zhaoguo Zhan, 2023. "Identification Robust Testing of Risk Premia in Finite Samples," Journal of Financial Econometrics, Oxford University Press, vol. 21(2), pages 263-297.

  6. Federico A. Bugni & Ivan A. Canay & Patrik Guggenberger, 2012. "Distortions of Asymptotic Confidence Size in Locally Misspecified Moment Inequality Models," Econometrica, Econometric Society, vol. 80(4), pages 1741-1768, July.

    Cited by:

    1. Kedagni, Desire & Li, Lixiong & Mourifie, Ismael, 2021. "Discordant Relaxations of Misspecified Models," ISU General Staff Papers 202107280700001131, Iowa State University, Department of Economics.
    2. Federico A. Bugni & Ivan A. Canay & Xiaoxia Shi, 2013. "Specification tests for partially identified models defined by moment inequalities," CeMMAP working papers 01/13, Institute for Fiscal Studies.
    3. Federico A. Bugni & Ivan A. Canay & Xiaoxia Shi, 2014. "Inference for functions of partially identified parameters in moment inequality models," CeMMAP working papers 22/14, Institute for Fiscal Studies.
    4. St'ephane Bonhomme & Martin Weidner, 2018. "Minimizing Sensitivity to Model Misspecification," Papers 1807.02161, arXiv.org, revised Oct 2021.
    5. Molinari, Francesca, 2020. "Microeconometrics with partial identification," Handbook of Econometrics, in: Steven N. Durlauf & Lars Peter Hansen & James J. Heckman & Rosa L. Matzkin (ed.), Handbook of Econometrics, edition 1, volume 7, chapter 0, pages 355-486, Elsevier.
    6. Stéphane Bonhomme & Martin Weidner, 2020. "Minimizing Sensitivity to Model Misspecification," CeMMAP working papers CWP37/20, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    7. Lavergne, Pascal, 2015. "Assessing the Approximate Validity of Moment Restrictions," TSE Working Papers 15-562, Toulouse School of Economics (TSE), revised May 2020.
    8. Kaido, Hiroaki & White, Halbert, 2014. "A two-stage procedure for partially identified models," Journal of Econometrics, Elsevier, vol. 182(1), pages 5-13.
    9. Francesca Molinari, 2019. "Econometrics with Partial Identification," CeMMAP working papers CWP25/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    10. Stéphane Bonhomme & Martin Weidner, 2022. "Minimizing sensitivity to model misspecification," Quantitative Economics, Econometric Society, vol. 13(3), pages 907-954, July.
    11. Federico A. Bugni & Mehmet Caner & Anders Bredahl Kock & Soumendra Lahiri, 2016. "Inference in partially identified models with many moment inequalities using Lasso," CREATES Research Papers 2016-12, Department of Economics and Business Economics, Aarhus University.
    12. Guggenberger, Patrik, 2012. "A note on the relation between local power and robustness to misspecification," Economics Letters, Elsevier, vol. 116(2), pages 133-135.

  7. Andrews, Donald W.K. & Guggenberger, Patrik, 2012. "Asymptotics for LS, GLS, and feasible GLS statistics in an AR(1) model with conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 169(2), pages 196-210.
    See citations under working paper version above.
  8. Guggenberger, Patrik, 2012. "On The Asymptotic Size Distortion Of Tests When Instruments Locally Violate The Exogeneity Assumption," Econometric Theory, Cambridge University Press, vol. 28(2), pages 387-421, April.

    Cited by:

    1. Antoine, Bertille & Dovonon, Prosper, 2021. "Robust estimation with exponentially tilted Hellinger distance," Journal of Econometrics, Elsevier, vol. 224(2), pages 330-344.
    2. Doko Tchatoka, Firmin, 2010. "Subset hypotheses testing and instrument exclusion in the linear IV regression," MPRA Paper 29611, University Library of Munich, Germany, revised 02 Feb 2012.
    3. Thorsten Janus & Daniel Riera-Crichton, 2016. "Banking crises, external crises and gross capital flows," Globalization Institute Working Papers 273, Federal Reserve Bank of Dallas.
    4. St'ephane Bonhomme & Martin Weidner, 2018. "Minimizing Sensitivity to Model Misspecification," Papers 1807.02161, arXiv.org, revised Oct 2021.
    5. Doko Tchatoka, Firmin & Wang, Wenjie, 2021. "Uniform Inference after Pretesting for Exogeneity with Heteroskedastic Data," MPRA Paper 106408, University Library of Munich, Germany.
    6. Donald W. K. Andrews & Patrik Guggenberger, 2015. "Identification- and Singularity-Robust Inference for Moment Condition," Cowles Foundation Discussion Papers 1978R2, Cowles Foundation for Research in Economics, Yale University, revised Jan 2019.
    7. Doko Tchatoka, Firmin & Wang, Wenjie, 2021. "Size-corrected Bootstrap Test after Pretesting for Exogeneity with Heteroskedastic or Clustered Data," MPRA Paper 110899, University Library of Munich, Germany.
    8. Firmin Doko Tchatoka & Wenjie Wang, 2020. "Uniform Inference after Pretesting for Exogeneity," School of Economics and Public Policy Working Papers 2020-05, University of Adelaide, School of Economics and Public Policy.
    9. Hwang, Jungbin & Kang, Byunghoon & Lee, Seojeong, 2022. "A doubly corrected robust variance estimator for linear GMM," Journal of Econometrics, Elsevier, vol. 229(2), pages 276-298.
    10. Isaiah Andrews & Matthew Gentzkow & Jesse M. Shapiro, 2020. "On the Informativeness of Descriptive Statistics for Structural Estimates," Econometrica, Econometric Society, vol. 88(6), pages 2231-2258, November.
    11. DiTraglia, Francis J., 2016. "Using invalid instruments on purpose: Focused moment selection and averaging for GMM," Journal of Econometrics, Elsevier, vol. 195(2), pages 187-208.
    12. Caner, Mehmet, 2014. "Near exogeneity and weak identification in generalized empirical likelihood estimators: Many moment asymptotics," Journal of Econometrics, Elsevier, vol. 182(2), pages 247-268.
    13. Seojeong Lee, 2015. "A Consistent Variance Estimator for 2SLS When Instruments Identify Different LATEs," Discussion Papers 2015-01, School of Economics, The University of New South Wales.
    14. Firmin Doko Tchatoka, 2014. "Specification Tests with Weak and Invalid Instruments," School of Economics and Public Policy Working Papers 2014-05, University of Adelaide, School of Economics and Public Policy.
    15. Marco J. Lombardi & Madhusudan Mohanty & Ilhyock Shim, 2022. "The relationship of household debt and growth in the short and long run," Empirical Economics, Springer, vol. 63(4), pages 1887-1911, October.
    16. Michal Kolesár & Raj Chetty & John N. Friedman & Edward L. Glaeser & Guido W. Imbens, 2011. "Identification and Inference with Many Invalid Instruments," NBER Working Papers 17519, National Bureau of Economic Research, Inc.
    17. Stéphane Bonhomme & Martin Weidner, 2020. "Minimizing Sensitivity to Model Misspecification," CeMMAP working papers CWP37/20, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    18. Cheng, Xu & Liao, Zhipeng, 2015. "Select the valid and relevant moments: An information-based LASSO for GMM with many moments," Journal of Econometrics, Elsevier, vol. 186(2), pages 443-464.
    19. Doko Tchatoka, Firmin & Wang, Wenjie, 2024. "Weak-Identification-Robust Bootstrap Tests after Pretesting for Exogeneity," MPRA Paper 123060, University Library of Munich, Germany.
    20. Lavergne, Pascal, 2015. "Assessing the Approximate Validity of Moment Restrictions," TSE Working Papers 15-562, Toulouse School of Economics (TSE), revised May 2020.
    21. Francis J. DiTraglia, 2011. "Using Invalid Instruments on Purpose: Focused Moment Selection and Averaging for GMM, Second Version," PIER Working Paper Archive 14-045, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 09 Dec 2014.
    22. Francis DiTraglia, 2011. "Using Invalid Instruments on Purpose: Focused Moment Selection and Averaging for GMM, Second Version," PIER Working Paper Archive 15-027, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 10 Aug 2015.
    23. Guggenberger, Patrik, 2012. "A note on the (in)consistency of the test of overidentifying restrictions and the concepts of true and pseudo-true parameters," Economics Letters, Elsevier, vol. 117(3), pages 901-904.
    24. Timothy B. Armstrong & Michal Koles'r, 2018. "Sensitivity Analysis using Approximate Moment Condition Models," Cowles Foundation Discussion Papers 2158R, Cowles Foundation for Research in Economics, Yale University, revised Feb 2019.
    25. Seojeong Lee, 2013. "Asymptotic Refinements of a Misspecification-Robust Bootstrap for Generalized Method of Moments Estimators," Discussion Papers 2013-09, School of Economics, The University of New South Wales.
    26. Isaiah Andrews & Matthew Gentzkow & Jesse M. Shapiro, 2017. "Measuring the Sensitivity of Parameter Estimates to Estimation Moments," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 132(4), pages 1553-1592.
    27. Jui-Chung Yang & Ke-Li Xu, 2013. "Estimation and Inference under Weak Identi cation and Persistence: An Application on Forecast-Based Monetary Policy Reaction Function," 2013 Papers pya307, Job Market Papers.
    28. Jan F. Kiviet & Jerzy Niemczyk, 2014. "On the Limiting and Empirical Distributions of IV Estimators When Some of the Instruments are Actually Endogenous," Advances in Econometrics, in: Essays in Honor of Peter C. B. Phillips, volume 33, pages 425-490, Emerald Group Publishing Limited.
    29. Byunghoon Kang, 2018. "Higher Order Approximation of IV Estimators with Invalid Instruments," Working Papers 257105320, Lancaster University Management School, Economics Department.
    30. Donald W.K. Andrews & Xu Cheng & Patrik Guggenberger, 2011. "Generic Results for Establishing the Asymptotic Size of Confidence Sets and Tests," Cowles Foundation Discussion Papers 1813, Cowles Foundation for Research in Economics, Yale University.
    31. Stephen G. Hall, & P. A. V. B. Swamy & George S. Tavlas, 2014. "On the Interpretation of Instrumental Variables in the Presence of Specification Errors," Discussion Papers in Economics 14/19, Division of Economics, School of Business, University of Leicester.
    32. Qazi Haque & Leandro M. Magnusson, 2023. "Identification Robust Empirical Evidence on the Open Economy IS‐Curve," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(2), pages 345-372, April.
    33. Stéphane Bonhomme & Martin Weidner, 2022. "Minimizing sensitivity to model misspecification," Quantitative Economics, Econometric Society, vol. 13(3), pages 907-954, July.
    34. Ruoyao Shi & Zhipeng Liao, 2018. "An Averaging GMM Estimator Robust to Misspecification," Working Papers 201803, University of California at Riverside, Department of Economics.
    35. Abadie, Alberto & Gu, Jiaying & Shen, Shu, 2024. "Instrumental variable estimation with first-stage heterogeneity," Journal of Econometrics, Elsevier, vol. 240(2).
    36. Xu Cheng & Zhipeng Liao, 2012. "Select the Valid and Relevant Moments: A One-Step Procedure for GMM with Many Moments," PIER Working Paper Archive 12-045, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    37. Marco Jacopo Lombardi & Madhusudan Mohanty & Ilhyock Shim, 2017. "The real effects of household debt in the short and long run," BIS Working Papers 607, Bank for International Settlements.
    38. Guggenberger, Patrik, 2012. "A note on the relation between local power and robustness to misspecification," Economics Letters, Elsevier, vol. 116(2), pages 133-135.

  9. Guggenberger, Patrik & Ramalho, Joaquim J.S. & Smith, Richard J., 2012. "GEL statistics under weak identification," Journal of Econometrics, Elsevier, vol. 170(2), pages 331-349.

    Cited by:

    1. Stépahne Auray & Nicolas Lepage-Saucier & Purevdorj Tuvaandor, 2018. "Doubly Robust GMM Inference and Differentiated Products Demand Models," Working Papers 2018-13, Center for Research in Economics and Statistics.
    2. Francesco Bravo, 2016. "Local Information Theoretic Methods for smooth Coefficients Dynamic Panel Data Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(5), pages 690-708, September.
    3. Donald W.K. Andrews & Xu Cheng & Patrik Guggenberger, 2011. "Generic Results for Establishing the Asymptotic Size of Confidence Sets and Tests," Cowles Foundation Discussion Papers 1813, Cowles Foundation for Research in Economics, Yale University.
    4. Philip Kostov & Julie Le Gallo, 2018. "What role for human capital in the growth process: new evidence from endogenous latent factor panel quantile regressions," Scottish Journal of Political Economy, Scottish Economic Society, vol. 65(5), pages 501-527, November.
    5. Gregory Cox, 2022. "Weak Identification in Low-Dimensional Factor Models with One or Two Factors," Papers 2211.00329, arXiv.org, revised Mar 2024.

  10. Andrews, Donald W.K. & Guggenberger, Patrik, 2010. "Applications of subsampling, hybrid, and size-correction methods," Journal of Econometrics, Elsevier, vol. 158(2), pages 285-305, October.
    See citations under working paper version above.
  11. Andrews, Donald W.K. & Guggenberger, Patrik, 2010. "ASYMPTOTIC SIZE AND A PROBLEM WITH SUBSAMPLING AND WITH THE m OUT OF n BOOTSTRAP," Econometric Theory, Cambridge University Press, vol. 26(2), pages 426-468, April.

    Cited by:

    1. Matei Demetrescu & Uwe Hassler & Vladimir Kuzin, 2011. "Pitfalls of post-model-selection testing: experimental quantification," Empirical Economics, Springer, vol. 40(2), pages 359-372, April.
    2. Chen, Heng & Fan, Yanqin & Liu, Ruixuan, 2016. "Inference for the correlation coefficient between potential outcomes in the Gaussian switching regime model," Journal of Econometrics, Elsevier, vol. 195(2), pages 255-270.
    3. Linton, Oliver & Song, Kyungchul & Whang, Yoon-Jae, 2009. "An improved bootstrap test of stochastic dominance," UC3M Working papers. Economics we094827, Universidad Carlos III de Madrid. Departamento de Economía.
    4. Stephen P. Ryan & Catherine Tucker, 2011. "Heterogeneity and the Dynamics of Technology Adoption," NBER Working Papers 17253, National Bureau of Economic Research, Inc.
    5. Philipp Ketz & Adam McCloskey, 2021. "Short and Simple Confidence Intervals when the Directions of Some Effects are Known," Papers 2109.08222, arXiv.org.
    6. Gregory Fletcher Cox, 2024. "A Simple and Adaptive Confidence Interval when Nuisance Parameters Satisfy an Inequality," Papers 2409.09962, arXiv.org.
    7. Andrews, Donald W.K. & Guggenberger, Patrik, 2012. "Asymptotics for LS, GLS, and feasible GLS statistics in an AR(1) model with conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 169(2), pages 196-210.
    8. Centorrino, Samuele & Pérez-Urdiales, María, 2023. "Maximum likelihood estimation of stochastic frontier models with endogeneity," Journal of Econometrics, Elsevier, vol. 234(1), pages 82-105.
    9. Doko Tchatoka, Firmin & Wang, Wenjie, 2021. "Uniform Inference after Pretesting for Exogeneity with Heteroskedastic Data," MPRA Paper 106408, University Library of Munich, Germany.
    10. Donald W. K. Andrews & Xu Cheng, 2011. "Maximum Likelihood Estimation and Uniform Inference with Sporadic Identification Failure," Cowles Foundation Discussion Papers 1824R, Cowles Foundation for Research in Economics, Yale University, revised Oct 2012.
    11. Mikusheva, Anna, 2013. "Survey on statistical inferences in weakly-identified instrumental variable models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 29(1), pages 117-131.
    12. Doko Tchatoka, Firmin & Wang, Wenjie, 2021. "Size-corrected Bootstrap Test after Pretesting for Exogeneity with Heteroskedastic or Clustered Data," MPRA Paper 110899, University Library of Munich, Germany.
    13. Qihui Chen & Zheng Fang, 2019. "Inference on Functionals under First Order Degeneracy," Papers 1901.04861, arXiv.org.
    14. Firmin Doko Tchatoka & Wenjie Wang, 2020. "Uniform Inference after Pretesting for Exogeneity," School of Economics and Public Policy Working Papers 2020-05, University of Adelaide, School of Economics and Public Policy.
    15. Chen, Ruxin & Tabri, Rami V., 2019. "Jackknife Empirical Likelihood for Inequality Constraints on Regular Functionals," Working Papers 2019-07, University of Sydney, School of Economics, revised Sep 2019.
    16. Hassler, Uwe, 2010. "Testing regression coefficients after model selection through sign restrictions," Economics Letters, Elsevier, vol. 107(2), pages 220-223, May.
    17. Dimri, Aditi & Gille, Véronique & Ketz, Philipp, 2024. "Measuring sex-selective abortion: How many women abort?," Journal of Development Economics, Elsevier, vol. 171(C).
    18. Lynda Khalaf & Beatriz Peraza López, 2020. "Simultaneous Indirect Inference, Impulse Responses and ARMA Models," Econometrics, MDPI, vol. 8(2), pages 1-26, April.
    19. Zeng-Hua Lu, 2020. "Bahadur intercept with applications to one-sided testing," Statistical Papers, Springer, vol. 61(2), pages 645-658, April.
    20. Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani, 2006. "Robust Subsampling," Swiss Finance Institute Research Paper Series 06-33, Swiss Finance Institute.
    21. Francesco Audrino & Lorenzo Camponovo, 2013. "Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models," Papers 1312.1473, arXiv.org.
    22. Deborah Kim, 2020. "On the Size Control of the Hybrid Test for Predictive Ability," Papers 2008.02318, arXiv.org, revised Sep 2021.
    23. Donald W.K. Andrews & Xiaoxia Shi, 2010. "Inference Based on Conditional Moment Inequalities," Cowles Foundation Discussion Papers 1761R2, Cowles Foundation for Research in Economics, Yale University, revised May 2012.
    24. Clément de Chaisemartin, 2012. "Fuzzy differences in differences," PSE Working Papers halshs-00671368, HAL.
    25. Sergio Firpo & Antonio F. Galvao & Thomas Parker, 2019. "Uniform inference for value functions," Papers 1911.10215, arXiv.org, revised Oct 2022.
    26. Wang, Wenjie, 2020. "On the Inconsistency of Nonparametric Bootstraps for the Subvector Anderson-Rubin Test," MPRA Paper 99109, University Library of Munich, Germany.
    27. Aditi Dimri & Véronique Gille & Philipp Ketz, 2024. "Measuring sex-selective abortion: How many women abort?," Post-Print hal-04671748, HAL.
    28. Joseph P. Romano & Azeem M. Shaikh & Michael Wolf, 2014. "A Practical Two‐Step Method for Testing Moment Inequalities," Econometrica, Econometric Society, vol. 82, pages 1979-2002, September.
    29. Ketz, Philipp, 2019. "On asymptotic size distortions in the random coefficients logit model," Journal of Econometrics, Elsevier, vol. 212(2), pages 413-432.
    30. Federico A. Bugni & Joel L. Horowitz, 2018. "Permutation Tests for Equality of Distributions of Functional Data," Papers 1803.00798, arXiv.org, revised Jun 2021.
    31. Doko Tchatoka, Firmin, 2013. "On bootstrap validity for specification tests with weak instruments," MPRA Paper 47485, University Library of Munich, Germany.
    32. Cheng, Xu & Liao, Zhipeng, 2015. "Select the valid and relevant moments: An information-based LASSO for GMM with many moments," Journal of Econometrics, Elsevier, vol. 186(2), pages 443-464.
    33. Tiemen M. Woutersen & John Ham, 2013. "Calculating confidence intervals for continuous and discontinuous functions of parameters," CeMMAP working papers 23/13, Institute for Fiscal Studies.
    34. Wang, Wenjie & Doko Tchatoka, Firmin, 2018. "On Bootstrap inconsistency and Bonferroni-based size-correction for the subset Anderson–Rubin test under conditional homoskedasticity," Journal of Econometrics, Elsevier, vol. 207(1), pages 188-211.
    35. Philipp Ketz, 2018. "Subvector inference when the true parameter vector may be near or at the boundary," Post-Print halshs-01884381, HAL.
    36. Doko Tchatoka, Firmin & Wang, Wenjie, 2024. "Weak-Identification-Robust Bootstrap Tests after Pretesting for Exogeneity," MPRA Paper 123060, University Library of Munich, Germany.
    37. Elliott, Graham & Müller, Ulrich K., 2014. "Pre and post break parameter inference," Journal of Econometrics, Elsevier, vol. 180(2), pages 141-157.
    38. Adam McCloskey, 2012. "Bonferroni-Based Size-Correction for Nonstandard Testing Problems," Working Papers 2012-16, Brown University, Department of Economics.
    39. Joseph Fry, 2023. "A Method of Moments Approach to Asymptotically Unbiased Synthetic Controls," Papers 2312.01209, arXiv.org, revised Mar 2024.
    40. Chunlin Wang & Paul Marriott & Pengfei Li, 2022. "A note on the coverage behaviour of bootstrap percentile confidence intervals for constrained parameters," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 85(7), pages 809-831, October.
    41. Magnac, Thierry, 2014. "Identification partielle: méthodes et conséquences pour les applications empiriques," TSE Working Papers 14-458, Toulouse School of Economics (TSE).
    42. Cheng, Xu, 2015. "Robust inference in nonlinear models with mixed identification strength," Journal of Econometrics, Elsevier, vol. 189(1), pages 207-228.
    43. Beare, Brendan K. & Shi, Xiaoxia, 2019. "An improved bootstrap test of density ratio ordering," Econometrics and Statistics, Elsevier, vol. 10(C), pages 9-26.
    44. Lok, Thomas M. & Tabri, Rami V., 2021. "An improved bootstrap test for restricted stochastic dominance," Journal of Econometrics, Elsevier, vol. 224(2), pages 371-393.
    45. Donald W.K. Andrews & Xu Cheng, 2011. "GMM Estimation and Uniform Subvector Inference with Possible Identification Failure," Cowles Foundation Discussion Papers 1828, Cowles Foundation for Research in Economics, Yale University.
    46. Donald W.K. Andrews & Xu Cheng & Patrik Guggenberger, 2011. "Generic Results for Establishing the Asymptotic Size of Confidence Sets and Tests," Cowles Foundation Discussion Papers 1813, Cowles Foundation for Research in Economics, Yale University.
    47. Fry, Joseph, 2024. "A method of moments approach to asymptotically unbiased Synthetic Controls," Journal of Econometrics, Elsevier, vol. 244(1).
    48. Xu Cheng & Eric Renault & Paul Sangrey, 2024. "Identifying the Volatility Risk Price Through the Leverage Effect," PIER Working Paper Archive 24-013, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    49. Philipp Ketz, 2022. "Allowing for weak identification when testing GARCH-X type models," Papers 2210.11398, arXiv.org.
    50. Fan, Yanqin & Shi, Xuetao, 2023. "Wald, QLR, and score tests when parameters are subject to linear inequality constraints," Journal of Econometrics, Elsevier, vol. 235(2), pages 2005-2026.
    51. Zeng-Hua Lu & Alec Zuo, 2017. "Child disability, welfare payments, marital status and mothers’ labor supply: Evidence from Australia," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1339769-133, January.
    52. Daniel Berkowitz & Mehmet Caner & Ying Fang, 2013. "The Validity of Instruments Revisited," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    53. Aditi Dimri & Véronique Gille & Philipp Ketz, 2024. "Measuring sex-selective abortion: How many women abort?," PSE-Ecole d'économie de Paris (Postprint) hal-04671748, HAL.
    54. Fan, Yanqin & Park, Sang Soo, 2010. "Confidence sets for some partially identified parameters," MPRA Paper 37149, University Library of Munich, Germany.
    55. Armstrong, Timothy B., 2015. "Asymptotically exact inference in conditional moment inequality models," Journal of Econometrics, Elsevier, vol. 186(1), pages 51-65.
    56. Joel L. Horowitz, 2018. "Bootstrap Methods in Econometrics," Papers 1809.04016, arXiv.org.
    57. Xu Cheng & Zhipeng Liao, 2012. "Select the Valid and Relevant Moments: A One-Step Procedure for GMM with Many Moments," PIER Working Paper Archive 12-045, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    58. Chen, Qihui & Fang, Zheng, 2019. "Inference on functionals under first order degeneracy," Journal of Econometrics, Elsevier, vol. 210(2), pages 459-481.
    59. Kenta Takatsu & Arun Kumar Kuchibhotla, 2025. "Bridging Root-$n$ and Non-standard Asymptotics: Adaptive Inference in M-Estimation," Papers 2501.07772, arXiv.org, revised Apr 2025.
    60. Konrad Menzel, 2021. "Bootstrap With Cluster‐Dependence in Two or More Dimensions," Econometrica, Econometric Society, vol. 89(5), pages 2143-2188, September.
    61. Andrews, Donald W.K. & Guggenberger, Patrik, 2009. "Incorrect asymptotic size of subsampling procedures based on post-consistent model selection estimators," Journal of Econometrics, Elsevier, vol. 152(1), pages 19-27, September.
    62. Joel L. Horowitz, 2018. "Bootstrap methods in econometrics," CeMMAP working papers CWP53/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    63. Chen, Ruxin & Tabri, Rami V., 2021. "Jackknife empirical likelihood for inequality constraints on regular functionals," Journal of Econometrics, Elsevier, vol. 221(1), pages 68-77.

  12. Guggenberger, Patrik, 2010. "The impact of a Hausman pretest on the size of a hypothesis test: The panel data case," Journal of Econometrics, Elsevier, vol. 156(2), pages 337-343, June.

    Cited by:

    1. Bartolucci, Francesco & Bacci, Silvia & Pigini, Claudia, 2017. "Misspecification test for random effects in generalized linear finite-mixture models for clustered binary and ordered data," Econometrics and Statistics, Elsevier, vol. 3(C), pages 112-131.
    2. Hasan, Iftekhar & Jackowicz, Krzysztof & Kowalewski, Oskar & Kozłowski, Łukasz, 2012. "Market Discipline during Crisis: Evidence from Bank Depositors in Transition Countries," MPRA Paper 43693, University Library of Munich, Germany.
    3. Leslie E. Papke & Jeffrey M. Wooldridge, 2024. "A simple, robust test for choosing the level of fixed effects in linear panel data models," Advanced Studies in Theoretical and Applied Econometrics, in: Subal C. Kumbhakar & Robin C. Sickles & Hung-Jen Wang (ed.), Advances in Applied Econometrics, pages 219-237, Springer.
    4. Doko Tchatoka, Firmin & Wang, Wenjie, 2021. "Uniform Inference after Pretesting for Exogeneity with Heteroskedastic Data," MPRA Paper 106408, University Library of Munich, Germany.
    5. Minsu Chang & Francis J. DiTraglia, 2020. "A Generalized Focused Information Criterion for GMM," Papers 2011.07085, arXiv.org.
    6. Doko Tchatoka, Firmin & Wang, Wenjie, 2021. "Size-corrected Bootstrap Test after Pretesting for Exogeneity with Heteroskedastic or Clustered Data," MPRA Paper 110899, University Library of Munich, Germany.
    7. Firmin Doko Tchatoka & Wenjie Wang, 2020. "Uniform Inference after Pretesting for Exogeneity," School of Economics and Public Policy Working Papers 2020-05, University of Adelaide, School of Economics and Public Policy.
    8. Paul Kabaila & Rheanna Mainzer & Davide Farchione, 2017. "Conditional assessment of the impact of a Hausman pretest on confidence intervals," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 71(4), pages 240-262, November.
    9. Jean-Bernard Chatelain & Kirsten Ralf, 2021. "Inference on time-invariant variables using panel data: a pretest estimator," Working Papers halshs-01719835, HAL.
    10. Nicholas King & P Dorian Owen & Rick Audas, 2010. "Playoff Uncertainty, Match Uncertainty and Attendance at Australian National Rugby League Matches," NCER Working Paper Series 61, National Centre for Econometric Research.
    11. Freeman, Hugo & Weidner, Martin, 2023. "Linear panel regressions with two-way unobserved heterogeneity," Journal of Econometrics, Elsevier, vol. 237(1).
    12. Pedro H. C. Sant'Anna & Qi Xu, 2023. "Difference-in-Differences with Compositional Changes," Papers 2304.13925, arXiv.org, revised Jan 2025.
    13. Squires, Dale, 2016. "Firm behavior under quantity controls: The theory of virtual quantities," Journal of Environmental Economics and Management, Elsevier, vol. 79(C), pages 70-86.
    14. Wooldridge, Jeffrey M., 2019. "Correlated random effects models with unbalanced panels," Journal of Econometrics, Elsevier, vol. 211(1), pages 137-150.
    15. Doko Tchatoka, Firmin, 2013. "On bootstrap validity for specification tests with weak instruments," MPRA Paper 47485, University Library of Munich, Germany.
    16. Wang, Wenjie & Doko Tchatoka, Firmin, 2018. "On Bootstrap inconsistency and Bonferroni-based size-correction for the subset Anderson–Rubin test under conditional homoskedasticity," Journal of Econometrics, Elsevier, vol. 207(1), pages 188-211.
    17. Ikeda, Shin S., 2019. "Illiquidity in the Japan electric power exchange," Journal of Commodity Markets, Elsevier, vol. 14(C), pages 16-39.
    18. Doko Tchatoka, Firmin & Wang, Wenjie, 2024. "Weak-Identification-Robust Bootstrap Tests after Pretesting for Exogeneity," MPRA Paper 123060, University Library of Munich, Germany.
    19. Adam McCloskey, 2012. "Bonferroni-Based Size-Correction for Nonstandard Testing Problems," Working Papers 2012-16, Brown University, Department of Economics.
    20. M. Akhtaruzzaman & Nathan Berg & Christopher Hajzler, 2017. "Expropriation Risk and FDI in Developing Countries: Does Return of Capital Dominate Return on Capital?," Staff Working Papers 17-9, Bank of Canada.
    21. Kabaila, Paul & Mainzer, Rheanna & Farchione, Davide, 2015. "The impact of a Hausman pretest, applied to panel data, on the coverage probability of confidence intervals," Economics Letters, Elsevier, vol. 131(C), pages 12-15.
    22. Guarino, Cassandra M. & Reckase, Mark D. & Stacy, Brian & Wooldridge, Jeffrey M., 2014. "Evaluating Specification Tests in the Context of Value-Added Estimation," IZA Discussion Papers 7974, Institute of Labor Economics (IZA).
    23. Li, Haiqi & Chen, Xingyi & Liang, Jufang, 2022. "Shrinkage estimation of panel data models with interactive effects," Economics Letters, Elsevier, vol. 210(C).
    24. Hutniczak, Barbara, 2015. "Modeling heterogeneous fleet in an ecosystem based management context," Ecological Economics, Elsevier, vol. 120(C), pages 203-214.
    25. Firmin Doko Tchatoka & Jean-Marie Dufour, 2016. "Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions: invariance and finite-sample distributional theory," CIRANO Working Papers 2016s-62, CIRANO.
    26. Moh’d Al-Azzam & Christopher Parmeter, 2021. "Competition and microcredit interest rates: international evidence," Empirical Economics, Springer, vol. 60(2), pages 829-868, February.
    27. Lixiong Yang & Mingjian Ren & Jianming Bai, 2025. "Threshold mixed data sampling logit model with an application to forecasting US bank failures," Empirical Economics, Springer, vol. 68(1), pages 433-477, January.
    28. Valentina Corradi & Daniel Gutknecht, 2019. "Testing for Quantile Sample Selection," Papers 1907.07412, arXiv.org, revised Jan 2021.
    29. Naoya Sueishi, 2022. "A Misuse of Specification Tests," Papers 2211.11915, arXiv.org.
    30. Nakabayashi, Masaki, 2019. "Ownership structure and market efficiency," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 61(C), pages 189-212.
    31. Wang, Yun & Zhang, Yonghui & Zhou, Qiankun, 2016. "A Stein-like estimator for linear panel data models," Economics Letters, Elsevier, vol. 141(C), pages 156-161.

  13. Guggenberger, Patrik, 2010. "The Impact Of A Hausman Pretest On The Asymptotic Size Of A Hypothesis Test," Econometric Theory, Cambridge University Press, vol. 26(2), pages 369-382, April.

    Cited by:

    1. Simon Freyaldenhoven & Christian Hansen & Jesse M. Shapiro, 2019. "Pre-event Trends in the Panel Event-Study Design," American Economic Review, American Economic Association, vol. 109(9), pages 3307-3338, September.
    2. Bartolucci, Francesco & Bacci, Silvia & Pigini, Claudia, 2017. "Misspecification test for random effects in generalized linear finite-mixture models for clustered binary and ordered data," Econometrics and Statistics, Elsevier, vol. 3(C), pages 112-131.
    3. Black, Dan A. & Joo, Joonhwi & LaLonde, Robert & Smith, Jeffrey A. & Taylor, Evan J., 2022. "Simple Tests for Selection: Learning More from Instrumental Variables," Labour Economics, Elsevier, vol. 79(C).
    4. Hasan, Iftekhar & Jackowicz, Krzysztof & Kowalewski, Oskar & Kozłowski, Łukasz, 2012. "Market Discipline during Crisis: Evidence from Bank Depositors in Transition Countries," MPRA Paper 43693, University Library of Munich, Germany.
    5. Samuele Centorrino & María Pérez‐Urdiales & Boris Bravo‐Ureta & Alan Wall, 2024. "Binary endogenous treatment in stochastic frontier models with an application to soil conservation in El Salvador," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(3), pages 365-382, April.
    6. Leslie E. Papke & Jeffrey M. Wooldridge, 2024. "A simple, robust test for choosing the level of fixed effects in linear panel data models," Advanced Studies in Theoretical and Applied Econometrics, in: Subal C. Kumbhakar & Robin C. Sickles & Hung-Jen Wang (ed.), Advances in Applied Econometrics, pages 219-237, Springer.
    7. Julie Buhl-Wiggers & Jason Kerwin & Juan Muñoz-Morales & Jeffrey Smith & Rebecca Thornton, 2022. "Some children left behind: Variation in the effects of an educational intervention," Post-Print hal-03972201, HAL.
    8. Akio Namba, 2021. "Bootstrapping the Stein-Rule Estimators," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(1), pages 219-237, December.
    9. Doko Tchatoka, Firmin & Wang, Wenjie, 2021. "Uniform Inference after Pretesting for Exogeneity with Heteroskedastic Data," MPRA Paper 106408, University Library of Munich, Germany.
    10. Minsu Chang & Francis J. DiTraglia, 2020. "A Generalized Focused Information Criterion for GMM," Papers 2011.07085, arXiv.org.
    11. Kevin x.d. Huang & Hui He & Sheng-ti Hung, 2013. "Substituting Leisure for Health Expenditure: A General Equilibrium-Based Empirical Investigation," Vanderbilt University Department of Economics Working Papers 13-00020, Vanderbilt University Department of Economics.
    12. Doko Tchatoka, Firmin & Wang, Wenjie, 2021. "Size-corrected Bootstrap Test after Pretesting for Exogeneity with Heteroskedastic or Clustered Data," MPRA Paper 110899, University Library of Munich, Germany.
    13. Firmin Doko Tchatoka & Wenjie Wang, 2020. "Uniform Inference after Pretesting for Exogeneity," School of Economics and Public Policy Working Papers 2020-05, University of Adelaide, School of Economics and Public Policy.
    14. Hassler, Uwe, 2010. "Testing regression coefficients after model selection through sign restrictions," Economics Letters, Elsevier, vol. 107(2), pages 220-223, May.
    15. DiTraglia, Francis J., 2016. "Using invalid instruments on purpose: Focused moment selection and averaging for GMM," Journal of Econometrics, Elsevier, vol. 195(2), pages 187-208.
    16. Paul Kabaila & Rheanna Mainzer & Davide Farchione, 2017. "Conditional assessment of the impact of a Hausman pretest on confidence intervals," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 71(4), pages 240-262, November.
    17. Jean-Bernard Chatelain & Kirsten Ralf, 2021. "Inference on time-invariant variables using panel data: a pretest estimator," Working Papers halshs-01719835, HAL.
    18. Nicholas King & P Dorian Owen & Rick Audas, 2010. "Playoff Uncertainty, Match Uncertainty and Attendance at Australian National Rugby League Matches," NCER Working Paper Series 61, National Centre for Econometric Research.
    19. Freeman, Hugo & Weidner, Martin, 2023. "Linear panel regressions with two-way unobserved heterogeneity," Journal of Econometrics, Elsevier, vol. 237(1).
    20. Tan, Ruipeng & Xu, Mengmeng & Sun, Chuanwang, 2021. "The impacts of energy reallocation on economic output and CO2 emissions in China," Energy Economics, Elsevier, vol. 94(C).
    21. Woutersen, Tiemen & Hausman, Jerry A., 2019. "Increasing the power of specification tests," Journal of Econometrics, Elsevier, vol. 211(1), pages 166-175.
    22. Pedro H. C. Sant'Anna & Qi Xu, 2023. "Difference-in-Differences with Compositional Changes," Papers 2304.13925, arXiv.org, revised Jan 2025.
    23. Squires, Dale, 2016. "Firm behavior under quantity controls: The theory of virtual quantities," Journal of Environmental Economics and Management, Elsevier, vol. 79(C), pages 70-86.
    24. Wooldridge, Jeffrey M., 2019. "Correlated random effects models with unbalanced panels," Journal of Econometrics, Elsevier, vol. 211(1), pages 137-150.
    25. Guo, Zijian & Kang, Hyunseung & Cai, T. Tony & Small, Dylan S., 2018. "Testing endogeneity with high dimensional covariates," Journal of Econometrics, Elsevier, vol. 207(1), pages 175-187.
    26. Doko Tchatoka, Firmin, 2013. "On bootstrap validity for specification tests with weak instruments," MPRA Paper 47485, University Library of Munich, Germany.
    27. Cheng, Xu & Liao, Zhipeng, 2015. "Select the valid and relevant moments: An information-based LASSO for GMM with many moments," Journal of Econometrics, Elsevier, vol. 186(2), pages 443-464.
    28. Wang, Wenjie & Doko Tchatoka, Firmin, 2018. "On Bootstrap inconsistency and Bonferroni-based size-correction for the subset Anderson–Rubin test under conditional homoskedasticity," Journal of Econometrics, Elsevier, vol. 207(1), pages 188-211.
    29. Ikeda, Shin S., 2019. "Illiquidity in the Japan electric power exchange," Journal of Commodity Markets, Elsevier, vol. 14(C), pages 16-39.
    30. Doko Tchatoka, Firmin & Wang, Wenjie, 2024. "Weak-Identification-Robust Bootstrap Tests after Pretesting for Exogeneity," MPRA Paper 123060, University Library of Munich, Germany.
    31. Adam McCloskey, 2012. "Bonferroni-Based Size-Correction for Nonstandard Testing Problems," Working Papers 2012-16, Brown University, Department of Economics.
    32. Francis J. DiTraglia, 2011. "Using Invalid Instruments on Purpose: Focused Moment Selection and Averaging for GMM, Second Version," PIER Working Paper Archive 14-045, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 09 Dec 2014.
    33. Francis DiTraglia, 2011. "Using Invalid Instruments on Purpose: Focused Moment Selection and Averaging for GMM, Second Version," PIER Working Paper Archive 15-027, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 10 Aug 2015.
    34. M. Akhtaruzzaman & Nathan Berg & Christopher Hajzler, 2017. "Expropriation Risk and FDI in Developing Countries: Does Return of Capital Dominate Return on Capital?," Staff Working Papers 17-9, Bank of Canada.
    35. Kabaila, Paul & Mainzer, Rheanna & Farchione, Davide, 2015. "The impact of a Hausman pretest, applied to panel data, on the coverage probability of confidence intervals," Economics Letters, Elsevier, vol. 131(C), pages 12-15.
    36. Li, Haiqi & Chen, Xingyi & Liang, Jufang, 2022. "Shrinkage estimation of panel data models with interactive effects," Economics Letters, Elsevier, vol. 210(C).
    37. Hutniczak, Barbara, 2015. "Modeling heterogeneous fleet in an ecosystem based management context," Ecological Economics, Elsevier, vol. 120(C), pages 203-214.
    38. Jan F. KIVIET & Milan PLEUS, 2012. "The performance of tests on endogeneity of subsets of explanatory variables scanned by simulation," Economic Growth Centre Working Paper Series 1208, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
    39. Kasy Maximilian, 2019. "Uniformity and the Delta Method," Journal of Econometric Methods, De Gruyter, vol. 8(1), pages 1-19, January.
    40. Maria Elena Bontempi & Jan Ditzen, 2023. "GMM-lev estimation and individual heterogeneity: Monte Carlo evidence and empirical applications," Papers 2312.00399, arXiv.org, revised Dec 2023.
    41. Firmin Doko Tchatoka & Jean-Marie Dufour, 2016. "Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions: invariance and finite-sample distributional theory," CIRANO Working Papers 2016s-62, CIRANO.
    42. Moh’d Al-Azzam & Christopher Parmeter, 2021. "Competition and microcredit interest rates: international evidence," Empirical Economics, Springer, vol. 60(2), pages 829-868, February.
    43. Xu Cheng & Zhipeng Liao, 2012. "Select the Valid and Relevant Moments: A One-Step Procedure for GMM with Many Moments," PIER Working Paper Archive 12-045, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    44. Valentina Corradi & Daniel Gutknecht, 2019. "Testing for Quantile Sample Selection," Papers 1907.07412, arXiv.org, revised Jan 2021.
    45. Naoya Sueishi, 2022. "A Misuse of Specification Tests," Papers 2211.11915, arXiv.org.
    46. Nakabayashi, Masaki, 2019. "Ownership structure and market efficiency," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 61(C), pages 189-212.
    47. Wang, Yun & Zhang, Yonghui & Zhou, Qiankun, 2016. "A Stein-like estimator for linear panel data models," Economics Letters, Elsevier, vol. 141(C), pages 156-161.

  14. Andrews, Donald W.K. & Guggenberger, Patrik, 2009. "Validity Of Subsampling And “Plug-In Asymptotic” Inference For Parameters Defined By Moment Inequalities," Econometric Theory, Cambridge University Press, vol. 25(3), pages 669-709, June.
    See citations under working paper version above.
  15. Donald W. K. Andrews & Patrik Guggenberger, 2009. "Hybrid and Size-Corrected Subsampling Methods," Econometrica, Econometric Society, vol. 77(3), pages 721-762, May.

    Cited by:

    1. Matei Demetrescu & Uwe Hassler & Vladimir Kuzin, 2011. "Pitfalls of post-model-selection testing: experimental quantification," Empirical Economics, Springer, vol. 40(2), pages 359-372, April.
    2. Isaiah Andrews & Jonathan Roth & Ariel Pakes, 2023. "Inference for Linear Conditional Moment Inequalities," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 90(6), pages 2763-2791.
    3. Philipp Ketz & Adam McCloskey, 2021. "Short and Simple Confidence Intervals when the Directions of Some Effects are Known," Papers 2109.08222, arXiv.org.
    4. Gregory Fletcher Cox, 2024. "A Simple and Adaptive Confidence Interval when Nuisance Parameters Satisfy an Inequality," Papers 2409.09962, arXiv.org.
    5. Andrews, Donald W.K. & Guggenberger, Patrik, 2012. "Asymptotics for LS, GLS, and feasible GLS statistics in an AR(1) model with conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 169(2), pages 196-210.
    6. Isaiah Andrews & Anna Mikusheva, 2016. "Conditional Inference With a Functional Nuisance Parameter," Econometrica, Econometric Society, vol. 84, pages 1571-1612, July.
    7. Doko Tchatoka, Firmin & Wang, Wenjie, 2021. "Uniform Inference after Pretesting for Exogeneity with Heteroskedastic Data," MPRA Paper 106408, University Library of Munich, Germany.
    8. Karthik Muralidharan & Mauricio Romero & Kaspar Wüthrich, 2020. "Factorial Designs, Model Selection, and (Incorrect) Inference in Randomized Experiments," CESifo Working Paper Series 8137, CESifo.
    9. Doko Tchatoka, Firmin & Wang, Wenjie, 2021. "Size-corrected Bootstrap Test after Pretesting for Exogeneity with Heteroskedastic or Clustered Data," MPRA Paper 110899, University Library of Munich, Germany.
    10. Firmin Doko Tchatoka & Wenjie Wang, 2020. "Uniform Inference after Pretesting for Exogeneity," School of Economics and Public Policy Working Papers 2020-05, University of Adelaide, School of Economics and Public Policy.
    11. Donald W.K. Andrews & Patrik Guggenberger, 2007. "Applications of Subsampling, Hybrid, and Size-Correction Methods," Cowles Foundation Discussion Papers 1608, Cowles Foundation for Research in Economics, Yale University.
    12. Anderson, Gordon & Linton, Oliver & Whang, Yoon-Jae, 2012. "Nonparametric estimation and inference about the overlap of two distributions," Journal of Econometrics, Elsevier, vol. 171(1), pages 1-23.
    13. Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani, 2006. "Robust Subsampling," Swiss Finance Institute Research Paper Series 06-33, Swiss Finance Institute.
    14. Cavaliere, Giuseppe & Nielsen, Heino Bohn & Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2022. "Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models," Journal of Econometrics, Elsevier, vol. 227(1), pages 241-263.
    15. Berenguer Rico, Vanessa & Gonzalo, Jesús, 2013. "Co-summability from linear to non-linear cointegration," UC3M Working papers. Economics we1312, Universidad Carlos III de Madrid. Departamento de Economía.
    16. Kleibergen, Frank, 2021. "Efficient size correct subset inference in homoskedastic linear instrumental variables regression," Journal of Econometrics, Elsevier, vol. 221(1), pages 78-96.
    17. Leeb, Hannes & Pötscher, Benedikt M. & Ewald, Karl, 2014. "On various confidence intervals post-model-selection," MPRA Paper 52858, University Library of Munich, Germany.
    18. Thomas Demuynck, 2018. "Testing the homogeneous marginal utility of income assumption," Econometric Reviews, Taylor & Francis Journals, vol. 37(10), pages 1120-1136, November.
    19. Cheng, Xu & Liao, Zhipeng, 2015. "Select the valid and relevant moments: An information-based LASSO for GMM with many moments," Journal of Econometrics, Elsevier, vol. 186(2), pages 443-464.
    20. Wang, Wenjie & Doko Tchatoka, Firmin, 2018. "On Bootstrap inconsistency and Bonferroni-based size-correction for the subset Anderson–Rubin test under conditional homoskedasticity," Journal of Econometrics, Elsevier, vol. 207(1), pages 188-211.
    21. Doko Tchatoka, Firmin & Wang, Wenjie, 2024. "Weak-Identification-Robust Bootstrap Tests after Pretesting for Exogeneity," MPRA Paper 123060, University Library of Munich, Germany.
    22. Elliott, Graham & Müller, Ulrich K., 2014. "Pre and post break parameter inference," Journal of Econometrics, Elsevier, vol. 180(2), pages 141-157.
    23. Adam McCloskey, 2012. "Bonferroni-Based Size-Correction for Nonstandard Testing Problems," Working Papers 2012-16, Brown University, Department of Economics.
    24. Cheng, Xu, 2015. "Robust inference in nonlinear models with mixed identification strength," Journal of Econometrics, Elsevier, vol. 189(1), pages 207-228.
    25. Pötscher, Benedikt M. & Preinerstorfer, David, 2016. "Controlling the Size of Autocorrelation Robust Tests," MPRA Paper 75657, University Library of Munich, Germany.
    26. Timothy B. Armstrong & Michal Koles'r, 2018. "Sensitivity Analysis using Approximate Moment Condition Models," Cowles Foundation Discussion Papers 2158R, Cowles Foundation for Research in Economics, Yale University, revised Feb 2019.
    27. Guggenberger, Patrik, 2010. "The impact of a Hausman pretest on the size of a hypothesis test: The panel data case," Journal of Econometrics, Elsevier, vol. 156(2), pages 337-343, June.
    28. Donald W. K. Andrews & Patrik Guggenberger, 2014. "A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter," The Review of Economics and Statistics, MIT Press, vol. 96(2), pages 376-381, May.
    29. Wang, Yafeng & Graham, Brett, 2009. "Generalized Maximum Entropy estimation of discrete sequential move games of perfect information," MPRA Paper 21331, University Library of Munich, Germany.
    30. Leeb, Hannes & Pötscher, Benedikt M., 2012. "Testing in the Presence of Nuisance Parameters: Some Comments on Tests Post-Model-Selection and Random Critical Values," MPRA Paper 41459, University Library of Munich, Germany.
    31. Donald W.K. Andrews & Xu Cheng & Patrik Guggenberger, 2011. "Generic Results for Establishing the Asymptotic Size of Confidence Sets and Tests," Cowles Foundation Discussion Papers 1813, Cowles Foundation for Research in Economics, Yale University.
    32. Hannes Leeb & Paul Kabaila, 2017. "Admissibility of the usual confidence set for the mean of a univariate or bivariate normal population: the unknown variance case," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 79(3), pages 801-813, June.
    33. Laurens Cherchye & Thomas Demuynck & Bram De Rock, 2017. "Bounding counterfactual demand with unobserved heterogeneity and endogenous expenditures," Working Papers of Department of Economics, Leuven 598907, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
    34. Joakim Westerlund & Paresh Narayan, 2013. "Testing the Efficient Market Hypothesis in Conditionally Heteroskedastic Futures Markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(11), pages 1024-1045, November.
    35. Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani, 2018. "Predictability Hidden by Anomalous Observations," School of Economics Discussion Papers 0418, School of Economics, University of Surrey.
    36. Westerlund, Joakim, 2014. "On the choice of test for a unit root when the errors are conditionally heteroskedastic," Computational Statistics & Data Analysis, Elsevier, vol. 69(C), pages 40-53.
    37. Joel L. Horowitz, 2018. "Bootstrap Methods in Econometrics," Papers 1809.04016, arXiv.org.
    38. Liu, Guannan & Yao, Shuang, 2020. "A robust test for predictability with unknown persistence," Economics Letters, Elsevier, vol. 189(C).
    39. Angrist, Joshua & Rokkanen, Miikka, 2013. "Wanna Get Away? RD Identification Away from the Cutoff," IZA Discussion Papers 7429, Institute of Labor Economics (IZA).
    40. Mikihito Nishi, 2023. "Testing for Stationary or Persistent Coefficient Randomness in Predictive Regressions," Papers 2309.04926, arXiv.org, revised May 2024.
    41. Xu Cheng & Zhipeng Liao, 2012. "Select the Valid and Relevant Moments: A One-Step Procedure for GMM with Many Moments," PIER Working Paper Archive 12-045, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    42. Chen, Qihui & Fang, Zheng, 2019. "Inference on functionals under first order degeneracy," Journal of Econometrics, Elsevier, vol. 210(2), pages 459-481.
    43. Xu Cheng & Zhipeng Liao & Ruoyao Shi, 2013. "Uniform Asymptotic Risk of Averaging GMM Estimator Robust to Misspecification, Second Version," PIER Working Paper Archive 15-017, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 25 Mar 2015.
    44. Andrews, Donald W.K. & Guggenberger, Patrik, 2009. "Incorrect asymptotic size of subsampling procedures based on post-consistent model selection estimators," Journal of Econometrics, Elsevier, vol. 152(1), pages 19-27, September.
    45. Joel L. Horowitz, 2018. "Bootstrap methods in econometrics," CeMMAP working papers CWP53/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    46. Guggenberger, Patrik & Ramalho, Joaquim J.S. & Smith, Richard J., 2012. "GEL statistics under weak identification," Journal of Econometrics, Elsevier, vol. 170(2), pages 331-349.

  16. Andrews, Donald W.K. & Guggenberger, Patrik, 2009. "Incorrect asymptotic size of subsampling procedures based on post-consistent model selection estimators," Journal of Econometrics, Elsevier, vol. 152(1), pages 19-27, September.

    Cited by:

    1. Doko Tchatoka, Firmin & Wang, Wenjie, 2021. "Uniform Inference after Pretesting for Exogeneity with Heteroskedastic Data," MPRA Paper 106408, University Library of Munich, Germany.
    2. Doko Tchatoka, Firmin & Wang, Wenjie, 2021. "Size-corrected Bootstrap Test after Pretesting for Exogeneity with Heteroskedastic or Clustered Data," MPRA Paper 110899, University Library of Munich, Germany.
    3. Firmin Doko Tchatoka & Wenjie Wang, 2020. "Uniform Inference after Pretesting for Exogeneity," School of Economics and Public Policy Working Papers 2020-05, University of Adelaide, School of Economics and Public Policy.
    4. Donald W.K. Andrews & Patrik Guggenberger, 2007. "Applications of Subsampling, Hybrid, and Size-Correction Methods," Cowles Foundation Discussion Papers 1608, Cowles Foundation for Research in Economics, Yale University.
    5. Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani, 2006. "Robust Subsampling," Swiss Finance Institute Research Paper Series 06-33, Swiss Finance Institute.
    6. Adrian O’Hagan & Thomas Brendan Murphy & Luca Scrucca & Isobel Claire Gormley, 2019. "Investigation of parameter uncertainty in clustering using a Gaussian mixture model via jackknife, bootstrap and weighted likelihood bootstrap," Computational Statistics, Springer, vol. 34(4), pages 1779-1813, December.
    7. Doko Tchatoka, Firmin & Wang, Wenjie, 2024. "Weak-Identification-Robust Bootstrap Tests after Pretesting for Exogeneity," MPRA Paper 123060, University Library of Munich, Germany.
    8. Adam McCloskey, 2012. "Bonferroni-Based Size-Correction for Nonstandard Testing Problems," Working Papers 2012-16, Brown University, Department of Economics.
    9. Guggenberger, Patrik, 2010. "The impact of a Hausman pretest on the size of a hypothesis test: The panel data case," Journal of Econometrics, Elsevier, vol. 156(2), pages 337-343, June.
    10. Sukjin Han & Adam McCloskey, 2024. "Inference for Interval-Identified Parameters Selected from an Estimated Set," Papers 2403.00422, arXiv.org, revised Apr 2025.
    11. Donald W.K. Andrews & Xu Cheng & Patrik Guggenberger, 2011. "Generic Results for Establishing the Asymptotic Size of Confidence Sets and Tests," Cowles Foundation Discussion Papers 1813, Cowles Foundation for Research in Economics, Yale University.
    12. Max H. Farrell, 2013. "Robust Inference on Average Treatment Effects with Possibly More Covariates than Observations," Papers 1309.4686, arXiv.org, revised Feb 2018.
    13. Krasnokutskaya, Elena & Song, Kyungchul & Tang, Xun, 2022. "Estimating unobserved individual heterogeneity using pairwise comparisons," Journal of Econometrics, Elsevier, vol. 226(2), pages 477-497.
    14. Canepa Alessandra, 2022. "Small Sample Adjustment for Hypotheses Testing on Cointegrating Vectors," Journal of Time Series Econometrics, De Gruyter, vol. 14(1), pages 51-85, January.

  17. Donald W. K. Andrews & Patrik Guggenberger, 2008. "Asymptotics for stationary very nearly unit root processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(1), pages 203-212, January.
    See citations under working paper version above.
  18. Guggenberger, Patrik & Hahn, Jinyong & Kim, Kyooil, 2008. "Specification testing under moment inequalities," Economics Letters, Elsevier, vol. 99(2), pages 375-378, May.

    Cited by:

    1. Stelios Arvanitis & Olivier Scaillet & Nikolas Topaloglou, 2018. "Spanning Tests for Markowitz Stochastic Dominance," Papers 1810.10800, arXiv.org.
    2. Federico A. Bugni & Ivan A. Canay & Xiaoxia Shi, 2013. "Specification tests for partially identified models defined by moment inequalities," CeMMAP working papers 01/13, Institute for Fiscal Studies.
    3. Molinari, Francesca, 2020. "Microeconometrics with partial identification," Handbook of Econometrics, in: Steven N. Durlauf & Lars Peter Hansen & James J. Heckman & Rosa L. Matzkin (ed.), Handbook of Econometrics, edition 1, volume 7, chapter 0, pages 355-486, Elsevier.
    4. Stefan Boes, 2009. "Bounds on Counterfactual Distributions Under Semi-Monotonicity Constraints," SOI - Working Papers 0920, Socioeconomic Institute - University of Zurich.
    5. Le-Yu Chen & Jerzy Szroeter, 2009. "Hypothesis testing of multiple inequalities: the method of constraint chaining," CeMMAP working papers 13/09, Institute for Fiscal Studies.
    6. Yuichi Kitamura & Jörg Stoye, 2016. "Nonparametric analysis of random utility models," CeMMAP working papers 27/16, Institute for Fiscal Studies.
    7. Donald W.K. Andrews & Panle Jia, 2008. "Inference for Parameters Defined by Moment Inequalities: A Recommended Moment Selection Procedure," Cowles Foundation Discussion Papers 1676, Cowles Foundation for Research in Economics, Yale University.
    8. Martin Huber & Giovanni Mellace, 2015. "Testing Instrument Validity for LATE Identification Based on Inequality Moment Constraints," The Review of Economics and Statistics, MIT Press, vol. 97(2), pages 398-411, May.
    9. Donald W.K. Andrews & Xiaoxia Shi, 2010. "Inference Based on Conditional Moment Inequalities," Cowles Foundation Discussion Papers 1761R2, Cowles Foundation for Research in Economics, Yale University, revised May 2012.
    10. Adam Rosen, 2006. "Confidence sets for partially identified parameters that satisfy a finite number of moment inequalities," CeMMAP working papers CWP25/06, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    11. David M. Kaplan & Longhao Zhuo, 2018. "Frequentist size of Bayesian inequality tests," Working Papers 1802, Department of Economics, University of Missouri, revised 14 Jul 2019.
    12. Hsieh, Yu-Wei & Shi, Xiaoxia & Shum, Matthew, 2022. "Inference on estimators defined by mathematical programming," Journal of Econometrics, Elsevier, vol. 226(2), pages 248-268.
    13. Mathieu Marcoux & Thomas Russell & Yuanyuan Wan, 2023. "A Simple Specification Test for Models with Many Conditional Moment Inequalities," Working Papers tecipa-764, University of Toronto, Department of Economics.
    14. Canay, Ivan A., 2010. "EL inference for partially identified models: Large deviations optimality and bootstrap validity," Journal of Econometrics, Elsevier, vol. 156(2), pages 408-425, June.
    15. Francesca Molinari, 2019. "Econometrics with Partial Identification," CeMMAP working papers CWP25/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    16. Jun, Sung Jae & Pinkse, Joris, 2009. "Semiparametric tests of conditional moment restrictions under weak or partial identification," Journal of Econometrics, Elsevier, vol. 152(1), pages 3-18, September.
    17. Kaido, Hiroaki, 2016. "A dual approach to inference for partially identified econometric models," Journal of Econometrics, Elsevier, vol. 192(1), pages 269-290.

  19. Guggenberger, Patrik & Smith, Richard J., 2008. "Generalized empirical likelihood tests in time series models with potential identification failure," Journal of Econometrics, Elsevier, vol. 142(1), pages 134-161, January.

    Cited by:

    1. Donald W.K. Andrews & Patrik Guggenberger, 2007. "Applications of Subsampling, Hybrid, and Size-Correction Methods," Cowles Foundation Discussion Papers 1608, Cowles Foundation for Research in Economics, Yale University.
    2. Abbas, Syed K. & Bhattacharya, Prasad Sankar & Sgro, Pasquale, 2016. "The new Keynesian Phillips curve: An update on recent empirical advances," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 378-403.
    3. Vasco Gabriel & Luis Martins, 2010. "The Cost Channel Reconsidered: A Comment Using an Identification-Robust Approach," School of Economics Discussion Papers 1010, School of Economics, University of Surrey.
    4. Caner, Mehmet & Fan, Qingliang, 2015. "Hybrid generalized empirical likelihood estimators: Instrument selection with adaptive lasso," Journal of Econometrics, Elsevier, vol. 187(1), pages 256-274.
    5. James M. Nason & Gregor W. Smith, 2005. "Identifying The New Keynesian Phillips Curve," Working Paper 1026, Economics Department, Queen's University.
    6. Mavroeidis, Sophocles & Plagborg-Moller, Mikkel & Stock, James H., 2014. "Empirical Evidence on Inflation Expectations in the New Keynesian Phillips Curve," Scholarly Articles 22795845, Harvard University Department of Economics.
    7. Gong, Yun & Peng, Liang & Qi, Yongcheng, 2010. "Smoothed jackknife empirical likelihood method for ROC curve," Journal of Multivariate Analysis, Elsevier, vol. 101(6), pages 1520-1531, July.
    8. La Vecchia, Davide & Moor, Alban & Scaillet, Olivier, 2020. "A higher-order correct fast moving-average bootstrap for dependent data," Working Papers unige:129395, University of Geneva, Geneva School of Economics and Management.
    9. Richard Smith, 2005. "Weak instruments and empirical likelihood: a discussion of the papers by DWK Andrews and JH Stock and Y Kitamura," CeMMAP working papers CWP13/05, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    10. Martins, Luis F. & Gabriel, Vasco J., 2009. "New Keynesian Phillips Curves and potential identification failures: A Generalized Empirical Likelihood analysis," Journal of Macroeconomics, Elsevier, vol. 31(4), pages 561-571, December.
    11. Li, Minqiang & Peng, Liang & Qi, Yongcheng, 2011. "Reduce computation in profile empirical likelihood method," MPRA Paper 33744, University Library of Munich, Germany.
    12. Hill, Jonathan B. & Prokhorov, Artem, 2016. "GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference," Journal of Econometrics, Elsevier, vol. 190(1), pages 18-45.
    13. Paul Levine & Luis F. Martins & Vasco J. Gabriel, 2006. "Robust Estimates of the New Keynesian Phillips Curve," School of Economics Discussion Papers 0206, School of Economics, University of Surrey.
    14. Gregory Cox, 2022. "Weak Identification in Low-Dimensional Factor Models with One or Two Factors," Papers 2211.00329, arXiv.org, revised Mar 2024.
    15. Alain Guay & Florian Pelgrin, 2007. "Using Implied Probabilities to Improve Estimation with Unconditional Moment Restrictions," Cahiers de recherche 0747, CIRPEE.
    16. Khalaf, Lynda & Urga, Giovanni, 2014. "Identification robust inference in cointegrating regressions," Journal of Econometrics, Elsevier, vol. 182(2), pages 385-396.
    17. Guggenberger, Patrik & Ramalho, Joaquim J.S. & Smith, Richard J., 2012. "GEL statistics under weak identification," Journal of Econometrics, Elsevier, vol. 170(2), pages 331-349.

  20. Patrik Guggenberger, 2008. "Finite Sample Evidence Suggesting a Heavy Tail Problem of the Generalized Empirical Likelihood Estimator," Econometric Reviews, Taylor & Francis Journals, vol. 27(4-6), pages 526-541.

    Cited by:

    1. Seojeong Lee, 2014. "Asymptotic Refinements of a Misspecification-Robust Bootstrap for GEL Estimators," Discussion Papers 2014-02, School of Economics, The University of New South Wales.
    2. Pierre Chaussé, 2011. "Generalized empirical likelihood for a continuum of moment conditions," Working Papers 1104, University of Waterloo, Department of Economics, revised Oct 2011.
    3. Rockey, James, 2012. "Reconsidering the fiscal effects of constitutions," European Journal of Political Economy, Elsevier, vol. 28(3), pages 313-323.
    4. Stefan Boes, 2010. "Count Data Models with Correlated Unobserved Heterogeneity," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 37(3), pages 382-402, September.
    5. Antoine, Bertille & Dovonon, Prosper, 2021. "Robust estimation with exponentially tilted Hellinger distance," Journal of Econometrics, Elsevier, vol. 224(2), pages 330-344.
    6. Carrasco, Marine & Tchuente, Guy, 2015. "Regularized LIML for many instruments," Journal of Econometrics, Elsevier, vol. 186(2), pages 427-442.
    7. Chen, Hongyi & Funke, Michael & Tsang, Andrew, 2016. "The diffusion and dynamics of producer prices, deflationary pressure across Asian countries, and the role of China," BOFIT Discussion Papers 11/2016, Bank of Finland Institute for Emerging Economies (BOFIT).
    8. Seojeong Lee, 2018. "Asymptotic Refinements of a Misspecification-Robust Bootstrap for Generalized Empirical Likelihood Estimators," Papers 1806.00953, arXiv.org, revised Jun 2018.
    9. Seojeong Lee, 2013. "Asymptotic Refinements of a Misspecification-Robust Bootstrap for Generalized Method of Moments Estimators," Discussion Papers 2013-09, School of Economics, The University of New South Wales.
    10. Pierre Chausse, 2017. "Regularized Empirical Likelihood as a Solution to the No Moment," Working Papers 1708, University of Waterloo, Department of Economics, revised Nov 2017.
    11. Xuexin Wang, 2020. "A new class of tests for overidentifying restrictions in moment condition models," Econometric Reviews, Taylor & Francis Journals, vol. 39(5), pages 495-509, May.
    12. Daniel Wilhelm, 2014. "Optimal bandwidth selection for robust generalized method of moments estimation," CeMMAP working papers 15/14, Institute for Fiscal Studies.
    13. Hill, Jonathan B. & Prokhorov, Artem, 2016. "GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference," Journal of Econometrics, Elsevier, vol. 190(1), pages 18-45.
    14. Daniel Wilhelm, 2014. "Optimal bandwidth selection for robust generalized method of moments estimation," CeMMAP working papers CWP15/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    15. Fan, Yanqin & Gentry, Matthew & Li, Tong, 2011. "A new class of asymptotically efficient estimators for moment condition models," Journal of Econometrics, Elsevier, vol. 162(2), pages 268-277, June.
    16. Rachida Ouysse, 2014. "On the performance of block-bootstrap continuously updated GMM for a class of non-linear conditional moment models," Computational Statistics, Springer, vol. 29(1), pages 233-261, February.
    17. Prosper Dovonon, 2016. "Large Sample Properties of the Three-Step Euclidean Likelihood Estimators under Model Misspecification," Econometric Reviews, Taylor & Francis Journals, vol. 35(4), pages 465-514, April.
    18. Crudu, Federico & Sándor, Zsolt, 2011. "On the finite-sample properties of conditional empirical likelihood estimators," MPRA Paper 34116, University Library of Munich, Germany.
    19. Lucas Girard & Yannick Guyonvarch, 2024. "Bridging Methodologies: Angrist and Imbens' Contributions to Causal Identification," Papers 2402.13023, arXiv.org.
    20. Rachida Ouysse, 2011. "Computationally efficient approximation for the double bootstrap mean bias correction," Economics Bulletin, AccessEcon, vol. 31(3), pages 2388-2403.
    21. Hwang, Jungbin & Valdés, Gonzalo, 2023. "Finite-sample corrected inference for two-step GMM in time series," Journal of Econometrics, Elsevier, vol. 234(1), pages 327-352.
    22. Alastair R. Hall, 2015. "Econometricians Have Their Moments: GMM at 32," The Economic Record, The Economic Society of Australia, vol. 91(S1), pages 1-24, June.
    23. Jose Blanchet & Yang Kang, 2021. "Sample Out-of-Sample Inference Based on Wasserstein Distance," Operations Research, INFORMS, vol. 69(3), pages 985-1013, May.

  21. Guggenberger, Patrik & Sun, Yixiao, 2006. "Bias-Reduced Log-Periodogram And Whittle Estimation Of The Long-Memory Parameter Without Variance Inflation," Econometric Theory, Cambridge University Press, vol. 22(5), pages 863-912, October.
    See citations under working paper version above.
  22. Patrik Guggenberger & Jinyong Hahn, 2005. "Finite Sample Properties of the Two-Step Empirical Likelihood Estimator," Econometric Reviews, Taylor & Francis Journals, vol. 24(3), pages 247-263.

    Cited by:

    1. Seojeong Lee, 2014. "Asymptotic Refinements of a Misspecification-Robust Bootstrap for GEL Estimators," Discussion Papers 2014-02, School of Economics, The University of New South Wales.
    2. Pierre Chaussé, 2011. "Generalized empirical likelihood for a continuum of moment conditions," Working Papers 1104, University of Waterloo, Department of Economics, revised Oct 2011.
    3. Stefan Boes, 2010. "Count Data Models with Correlated Unobserved Heterogeneity," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 37(3), pages 382-402, September.
    4. Patrik Guggenberger, 2006. "Finite-Sample Evidence Suggesting a Heavy Tail Problem of the Generalized Empirical Likelihood Estimator, accepted for publication, Econometric Reviews," UCLA Economics Online Papers 371, UCLA Department of Economics.
    5. Alain Guay & Florian Pelgrin, 2016. "Using Implied Probabilities to Improve the Estimation of Unconditional Moment Restrictions for Weakly Dependent Data," Econometric Reviews, Taylor & Francis Journals, vol. 35(3), pages 344-372, March.
    6. Seojeong Lee, 2018. "Asymptotic Refinements of a Misspecification-Robust Bootstrap for Generalized Empirical Likelihood Estimators," Papers 1806.00953, arXiv.org, revised Jun 2018.
    7. Fan, Yanqin & Gentry, Matthew & Li, Tong, 2011. "A new class of asymptotically efficient estimators for moment condition models," Journal of Econometrics, Elsevier, vol. 162(2), pages 268-277, June.
    8. Rachida Ouysse, 2014. "On the performance of block-bootstrap continuously updated GMM for a class of non-linear conditional moment models," Computational Statistics, Springer, vol. 29(1), pages 233-261, February.
    9. Aaron Chalfin & Justin McCrary, 2013. "The Effect of Police on Crime: New Evidence from U.S. Cities, 1960-2010," NBER Working Papers 18815, National Bureau of Economic Research, Inc.
    10. Alain Guay & Florian Pelgrin, 2007. "Using Implied Probabilities to Improve Estimation with Unconditional Moment Restrictions," Cahiers de recherche 0747, CIRPEE.

  23. Guggenberger, Patrik & Smith, Richard J., 2005. "Generalized Empirical Likelihood Estimators And Tests Under Partial, Weak, And Strong Identification," Econometric Theory, Cambridge University Press, vol. 21(4), pages 667-709, August.

    Cited by:

    1. Humberto Moreira & Marcelo Moreira, 2016. "Optimal two-sided tests for instrumental variables regression with heteroskedastic and autocorrelated errors," CeMMAP working papers CWP25/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    2. Doko Tchatoka, Firmin, 2012. "Testing for partial exogeneity with weak identification," Working Papers 14565, University of Tasmania, Tasmanian School of Business and Economics, revised 31 May 2012.
    3. Marine Carrasco & Guy Tchuente, 2016. "Efficient Estimation with Many Weak Instruments Using Regularization Techniques," Econometric Reviews, Taylor & Francis Journals, vol. 35(8-10), pages 1609-1637, December.
    4. Patrik Guggenberge & Frank Kleibergen & Sophocles Mavroeidis, 2021. "A Powerful Subvector Anderson Rubin Test in Linear Instrumental Variables Regression with Conditional Heteroskedasticity," Economics Series Working Papers 960, University of Oxford, Department of Economics.
    5. Humberto Moreira & Marcelo Moreira, 2016. "Optimal two-sided tests for instrumental variables regression with heteroskedastic and autocorrelated errors," CeMMAP working papers 25/16, Institute for Fiscal Studies.
    6. Patrik Guggenberger, 2006. "Finite-Sample Evidence Suggesting a Heavy Tail Problem of the Generalized Empirical Likelihood Estimator, accepted for publication, Econometric Reviews," UCLA Economics Online Papers 371, UCLA Department of Economics.
    7. Isaiah Andrews & Anna Mikusheva, 2022. "GMM is Inadmissible Under Weak Identification," Papers 2204.12462, arXiv.org, revised May 2023.
    8. Parente, Paulo M.D.C. & Smith, Richard J., 2017. "Tests of additional conditional moment restrictions," Journal of Econometrics, Elsevier, vol. 200(1), pages 1-16.
    9. Vadim Marmer & Taisuke Otsu, 2009. "Optimal Comparison of Misspecified Moment Restriction Models under a Chosen Measure of Fit," Cowles Foundation Discussion Papers 1724, Cowles Foundation for Research in Economics, Yale University, revised Jul 2011.
    10. Giuseppe Ragusa, 2011. "Minimum Divergence, Generalized Empirical Likelihoods, and Higher Order Expansions," Econometric Reviews, Taylor & Francis Journals, vol. 30(4), pages 406-456, August.
    11. Xu Cheng, 2014. "Uniform Inference in Nonlinear Models with Mixed Identification Strength," PIER Working Paper Archive 14-018, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    12. Donald W.K. Andrews & Patrik Guggenberger, 2007. "Applications of Subsampling, Hybrid, and Size-Correction Methods," Cowles Foundation Discussion Papers 1608, Cowles Foundation for Research in Economics, Yale University.
    13. Battey, Heather & Feng, Qiang & Smith, Richard J., 2016. "Improving confidence set estimation when parameters are weakly identified," Statistics & Probability Letters, Elsevier, vol. 118(C), pages 117-123.
    14. Mehmet Caner, 2005. "Near Exogeneity and Weak Identification in Generalized Empirical Likelihood Estimators: Fixed and Many Moment Asymptotics," Econometrics 0509018, University Library of Munich, Germany.
    15. Saraswata Chaudhuri & Eric Zivot, 2008. "A new method of projection-based inference in GMM with weakly identified nuisance parameters," Working Papers UWEC-2008-26, University of Washington, Department of Economics.
    16. Patrik Buggenberger & Richard Smith, 2005. "Generalized empirical likelihood tests in time series models with potential identification failure," CeMMAP working papers CWP01/05, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    17. Tetsuya Kaji, 2019. "Theory of Weak Identification in Semiparametric Models," Papers 1908.10478, arXiv.org, revised Aug 2020.
    18. Caner, Mehmet & Fan, Qingliang, 2015. "Hybrid generalized empirical likelihood estimators: Instrument selection with adaptive lasso," Journal of Econometrics, Elsevier, vol. 187(1), pages 256-274.
    19. Paul J. Devereux & Gautam Tripathi, 2008. "Optimally combining censored and uncensored datasets," Working Papers 200820, School of Economics, University College Dublin.
    20. Andrei Zeleneev & Kirill Evdokimov, 2023. "Simple estimation of semiparametric models with measurement errors," CeMMAP working papers 10/23, Institute for Fiscal Studies.
    21. Yoon-Jae Whang, 2004. "Smoothed Empirical Likelihood Methods for Quantile Regression Models," Cowles Foundation Discussion Papers 1453, Cowles Foundation for Research in Economics, Yale University.
    22. Marcelo J. Moreira & Jack R. Porter & Gustavo A. Suarez, 2004. "Bootstrap and Higher-Order Expansion Validity When Instruments May Be Weak," Harvard Institute of Economic Research Working Papers 2048, Harvard - Institute of Economic Research.
    23. Leandro M. Magnusson, 2008. "Inference in Limited Dependent Variable Models Robust to Weak Identification," Working Papers 0801, Tulane University, Department of Economics, revised Apr 2009.
    24. Kirill S. Evdokimov & Andrei Zeleneev, 2023. "Simple Estimation of Semiparametric Models with Measurement Errors," Papers 2306.14311, arXiv.org, revised Jan 2025.
    25. Jaroslava Hlouskova & Leopold Sogner, 2015. "GMM Estimation of Affine Term Structure Models," Papers 1508.01661, arXiv.org.
    26. Stefan Boes, 2004. "Empirical Likelihood in Count Data Models: The Case of Endogenous Regressors," SOI - Working Papers 0404, Socioeconomic Institute - University of Zurich.
    27. Mehmet Caner, 2005. "Exponential Tilting With Weak Instruments," Working Paper 208, Department of Economics, University of Pittsburgh, revised Jan 2005.
    28. Mehmet Caner, 2005. "Nearly Singular design in gmm and generalized empirical likelihood estimators," Working Paper 211, Department of Economics, University of Pittsburgh, revised Jan 2005.
    29. Joel L. Horowitz, 2017. "Non-asymptotic inference in instrumental variables estimation," CeMMAP working papers 46/17, Institute for Fiscal Studies.
    30. Rami V. Tabri & Christopher D. Walker, 2020. "Inference for Moment Inequalities: A Constrained Moment Selection Procedure," Papers 2008.09021, arXiv.org, revised Aug 2020.
    31. Whitney K. Newey & Frank Windmeijer, 2005. "GMM with many weak moment conditions," CeMMAP working papers CWP18/05, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    32. Adam Rosen, 2006. "Confidence sets for partially identified parameters that satisfy a finite number of moment inequalities," CeMMAP working papers CWP25/06, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    33. Cheng, Xu, 2015. "Robust inference in nonlinear models with mixed identification strength," Journal of Econometrics, Elsevier, vol. 189(1), pages 207-228.
    34. Joel L. Horowitz, 2018. "Non-Asymptotic Inference in Instrumental Variables Estimation," Papers 1809.03600, arXiv.org.
    35. Mehmet Caner, 2006. "Near Exogeneity and Weak Identification in Generlized Empirical Likelihood estimators : Fixed and Many Moment Asymptotics," Working Paper 212, Department of Economics, University of Pittsburgh, revised Jan 2006.
    36. Richard Smith, 2005. "Weak instruments and empirical likelihood: a discussion of the papers by DWK Andrews and JH Stock and Y Kitamura," CeMMAP working papers CWP13/05, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    37. Martins, Luis F. & Gabriel, Vasco J., 2009. "New Keynesian Phillips Curves and potential identification failures: A Generalized Empirical Likelihood analysis," Journal of Macroeconomics, Elsevier, vol. 31(4), pages 561-571, December.
    38. Mehmet Caner, 2005. "Exponential Tilting with Weak Instruments: Estimation and Testing," Econometrics 0509017, University Library of Munich, Germany.
    39. Horowitz, Joel L., 2021. "Bounding the difference between true and nominal rejection probabilities in tests of hypotheses about instrumental variables models," Journal of Econometrics, Elsevier, vol. 222(2), pages 1057-1082.
    40. Bravo, Francesco, 2009. "Two-step generalised empirical likelihood inference for semiparametric models," Journal of Multivariate Analysis, Elsevier, vol. 100(7), pages 1412-1431, August.
    41. Kirill Evdokimov & Andrei Zeleneev, 2025. "Simple estimation of semiparametric models with measurement errors," CeMMAP working papers 02/25, Institute for Fiscal Studies.
    42. Bertille Antoine & Eric Renault, 2012. "Testing Identification Strength," Discussion Papers dp12-17, Department of Economics, Simon Fraser University, revised Jan 2017.
    43. Yuichi Kitamura, 2006. "Empirical Likelihood Methods in Econometrics: Theory and Practice," CIRJE F-Series CIRJE-F-430, CIRJE, Faculty of Economics, University of Tokyo.
    44. Marcellino, Massimiliano & Kapetanios, George & Khalaf, Lynda, 2015. "Factor based identification-robust inference in IV regressions," CEPR Discussion Papers 10390, C.E.P.R. Discussion Papers.
    45. Donald W.K. Andrews & Patrik Guggenberger, 2007. "Validity of Subsampling and "Plug-in Asymptotic" Inference for Parameters Defined by Moment Inequalities," Cowles Foundation Discussion Papers 1620, Cowles Foundation for Research in Economics, Yale University.
    46. Donald W.K. Andrews & James H. Stock, 2005. "Inference with Weak Instruments," NBER Technical Working Papers 0313, National Bureau of Economic Research, Inc.
    47. Aviv Nevo & Adam Rosen, 2008. "Identification with imperfect instruments," CeMMAP working papers CWP16/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    48. Moreira, Marcelo J. & Porter, Jack R. & Suarez, Gustavo A., 2009. "Bootstrap validity for the score test when instruments may be weak," Journal of Econometrics, Elsevier, vol. 149(1), pages 52-64, April.
    49. G. Forchini, 2005. "Some Properties of Tests for Possibly Unidentified Parameters," Monash Econometrics and Business Statistics Working Papers 21/05, Monash University, Department of Econometrics and Business Statistics.
    50. Vitaliy Oryshchenko & Richard J. Smith, 2013. "Generalised empirical likelihood-based kernel density estimation," Economics Papers 2013-W03, Economics Group, Nuffield College, University of Oxford.
    51. Paul Levine & Luis F. Martins & Vasco J. Gabriel, 2006. "Robust Estimates of the New Keynesian Phillips Curve," School of Economics Discussion Papers 0206, School of Economics, University of Surrey.
    52. Inoue, Atsushi & Rossi, Barbara, 2011. "Testing for weak identification in possibly nonlinear models," Journal of Econometrics, Elsevier, vol. 161(2), pages 246-261, April.
    53. Paulo Parente & Richard Smith, 2012. "Exogeneity in semiparametric moment condition models," CeMMAP working papers 30/12, Institute for Fiscal Studies.
    54. Joel L. Horowitz, 2017. "Non-asymptotic inference in instrumental variables estimation," CeMMAP working papers CWP46/17, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    55. Daniel Berkowitz & Mehmet Caner & Ying Fang, 2013. "The Validity of Instruments Revisited," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    56. Mehmet Caner, 2005. "Nearly Singular Design In Gmm And Generalized Empirical Likelihood Estimators," Econometrics 0509019, University Library of Munich, Germany.
    57. Joel L. Horowitz, 2018. "Non-asymptotic inference in instrumental variables estimation," CeMMAP working papers CWP52/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    58. Parente, Paulo M.D.C. & Smith, Richard J., 2011. "Gel Methods For Nonsmooth Moment Indicators," Econometric Theory, Cambridge University Press, vol. 27(1), pages 74-113, February.
    59. Chaudhuri, Saraswata & Renault, Eric, 2020. "Score tests in GMM: Why use implied probabilities?," Journal of Econometrics, Elsevier, vol. 219(2), pages 260-280.
    60. Gregory Cox, 2022. "Weak Identification in Low-Dimensional Factor Models with One or Two Factors," Papers 2211.00329, arXiv.org, revised Mar 2024.
    61. Xu, Ke-Li, 2020. "Inference of local regression in the presence of nuisance parameters," Journal of Econometrics, Elsevier, vol. 218(2), pages 532-560.
    62. Hwang, Jungbin & Valdés, Gonzalo, 2023. "Finite-sample corrected inference for two-step GMM in time series," Journal of Econometrics, Elsevier, vol. 234(1), pages 327-352.
    63. Gregory Cox, 2020. "Weak Identification with Bounds in a Class of Minimum Distance Models," Papers 2012.11222, arXiv.org, revised Dec 2022.
    64. Isaiah Andrews & Anna Mikusheva, 2022. "Optimal Decision Rules for Weak GMM," Econometrica, Econometric Society, vol. 90(2), pages 715-748, March.
    65. Ying Fang, 2013. "GMM with Weak Identification and Near Exogenneity," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    66. Kirill Evdokimov & Andrei Zeleneev, 2024. "Simple estimation of semiparametric models with measurement errors," CeMMAP working papers 05/24, Institute for Fiscal Studies.
    67. Don S. Poskitt, 2020. "On GMM Inference: Partial Identification, Identification Strength, and Non-Standard," Monash Econometrics and Business Statistics Working Papers 40/20, Monash University, Department of Econometrics and Business Statistics.
    68. Guggenberger, Patrik & Ramalho, Joaquim J.S. & Smith, Richard J., 2012. "GEL statistics under weak identification," Journal of Econometrics, Elsevier, vol. 170(2), pages 331-349.

  24. Patrik Guggenberger, 2005. "Monte-carlo evidence suggesting a no moment problem of the continuous updating estimator," Economics Bulletin, AccessEcon, vol. 3(13), pages 1-6.

    Cited by:

    1. Stefan Boes, 2010. "Count Data Models with Correlated Unobserved Heterogeneity," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 37(3), pages 382-402, September.
    2. Tetsuya Kaji, 2019. "Theory of Weak Identification in Semiparametric Models," Papers 1908.10478, arXiv.org, revised Aug 2020.
    3. Fan, Yanqin & Gentry, Matthew & Li, Tong, 2011. "A new class of asymptotically efficient estimators for moment condition models," Journal of Econometrics, Elsevier, vol. 162(2), pages 268-277, June.
    4. Rachida Ouysse, 2014. "On the performance of block-bootstrap continuously updated GMM for a class of non-linear conditional moment models," Computational Statistics, Springer, vol. 29(1), pages 233-261, February.
    5. Frank Windmeijer, 2006. "GMM for panel count data models," CeMMAP working papers CWP21/06, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    6. Hausman, Jerry & Lewis, Randall & Menzel, Konrad & Newey, Whitney, 2011. "Properties of the CUE estimator and a modification with moments," Journal of Econometrics, Elsevier, vol. 165(1), pages 45-57.
    7. Hwang, Jungbin & Valdés, Gonzalo, 2023. "Finite-sample corrected inference for two-step GMM in time series," Journal of Econometrics, Elsevier, vol. 234(1), pages 327-352.
    8. Alain Guay & Florian Pelgrin, 2007. "Using Implied Probabilities to Improve Estimation with Unconditional Moment Restrictions," Cahiers de recherche 0747, CIRPEE.

  25. Donald W. K. Andrews & Patrik Guggenberger, 2003. "A Bias--Reduced Log--Periodogram Regression Estimator for the Long--Memory Parameter," Econometrica, Econometric Society, vol. 71(2), pages 675-712, March.
    See citations under working paper version above.
  26. Guggenberger, Patrik & Kaul, Ashok & Kolmar, Martin, 2002. "Efficiency properties of labor taxation in a spatial model of restricted labor mobility," Regional Science and Urban Economics, Elsevier, vol. 32(4), pages 447-473, July.
    See citations under working paper version above.
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