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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. Dennis Lim & Wenjie Wang & Yichong Zhang, 2022. "A Conditional Linear Combination Test with Many Weak Instruments," Papers 2207.11137, arXiv.org, revised Apr 2023.
    2. Marcelo Moreira & Geert Ridder, 2019. "Efficiency loss of asymptotically efficient tests in an instrumental variables regression," CeMMAP working papers CWP03/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    3. Antoine, Bertille & Lavergne, Pascal, 2023. "Identification-robust nonparametric inference in a linear IV model," Journal of Econometrics, Elsevier, vol. 235(1), pages 1-24.
    4. Wang, Wenjie & Zhang, Yichong, 2024. "Wild bootstrap inference for instrumental variables regressions with weak and few clusters," Journal of Econometrics, Elsevier, vol. 241(1).
    5. Jean-Jacques Forneron, 2019. "Detecting Identification Failure in Moment Condition Models," Papers 1907.13093, arXiv.org, revised Oct 2023.
    6. 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.
    7. Wenjie Wang & Yichong Zhang, 2024. "Gradient Wild Bootstrap for Instrumental Variable Quantile Regressions with Weak and Few Clusters," Papers 2408.10686, arXiv.org.
    8. Wenjie Wang & Yichong Zhang, 2021. "Wild Bootstrap for Instrumental Variables Regressions with Weak and Few Clusters," Papers 2108.13707, arXiv.org, revised Jan 2024.
    9. Lim, Dennis & Wang, Wenjie & Zhang, Yichong, 2024. "A conditional linear combination test with many weak instruments," Journal of Econometrics, Elsevier, vol. 238(2).
    10. Woosik Gong & Myung Hwan Seo, 2022. "Bootstraps for Dynamic Panel Threshold Models," Papers 2211.04027, arXiv.org, revised Nov 2025.
    11. Gregory Fletcher Cox, 2020. "Weak Identification with Bounds in a Class of Minimum Distance Models," Papers 2012.11222, arXiv.org, revised Oct 2025.
    12. 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.
    13. Bertille Antoine & Pascal Lavergne, 2020. "Identification-Robust Nonparametric Interference in a Linear IV Model," Discussion Papers dp20-03, Department of Economics, Simon Fraser University.
    14. Lee, Adam & Mesters, Geert, 2024. "Locally robust inference for non-Gaussian linear simultaneous equations models," Journal of Econometrics, Elsevier, vol. 240(1).
    15. Patrik Guggenberger & Frank Kleibergen & Sophocles Mavroeidis, 2021. "A Powerful Subvector Anderson Rubin Test in Linear Instrumental Variables Regression with Conditional Heteroskedasticity," Papers 2103.11371, arXiv.org, revised Oct 2022.
    16. 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.
    17. Kirill Evdokimov & Andrei Zeleneev, 2025. "Simple estimation of semiparametric models with measurement errors," CeMMAP working papers 02/25, Institute for Fiscal Studies.
    18. Gregory Cox, 2022. "Weak Identification in Low-Dimensional Factor Models with One or Two Factors," Papers 2211.00329, arXiv.org, revised Mar 2024.
    19. Kirill Evdokimov & Andrei Zeleneev, 2024. "Simple estimation of semiparametric models with measurement errors," CeMMAP working papers 05/24, Institute for Fiscal Studies.
    20. Purevdorj Tuvaandorj, 2021. "Robust Permutation Tests in Linear Instrumental Variables Regression," Papers 2111.13774, arXiv.org, revised Jul 2024.
    21. Wang, Wenjie, 2021. "Wild Bootstrap for Instrumental Variables Regression with Weak Instruments and Few Clusters," MPRA Paper 106227, University Library of Munich, Germany.
    22. 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.
    23. Régis Barnichon & Geert Mesters, 2025. "Innovations Meet Narratives -Improving the Power-Credibility Trade-off in Macro," Working Papers 1475, Barcelona School of Economics.
    24. Dennis Lim & Wenjie Wang & Yichong Zhang, 2024. "A Dimension-Agnostic Bootstrap Anderson-Rubin Test For Instrumental Variable Regressions," Papers 2412.01603, arXiv.org, revised Sep 2025.
    25. 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.
    26. Andrews, Donald W.K. & Cheng, Xu & Guggenberger, Patrik, 2020. "Generic results for establishing the asymptotic size of confidence sets and tests," Journal of Econometrics, Elsevier, vol. 218(2), pages 496-531.

  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. Tetsuya Kaji, 2019. "Theory of Weak Identification in Semiparametric Models," Papers 1908.10478, arXiv.org, revised Aug 2020.
    2. Moreira, Humberto & Moreira, Marcelo J., 2019. "Optimal two-sided tests for instrumental variables regression with heteroskedastic and autocorrelated errors," Journal of Econometrics, Elsevier, vol. 213(2), pages 398-433.
    3. Hugo Kruiniger, 2025. "Uniform Quasi ML based inference for the panel AR(1) model," Papers 2508.20855, arXiv.org, revised Dec 2025.
    4. 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.
    5. Gregory Fletcher Cox, 2020. "Weak Identification with Bounds in a Class of Minimum Distance Models," Papers 2012.11222, arXiv.org, revised Oct 2025.
    6. 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.
    7. 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.
    8. Martínez-Iriarte, Julián & Sun, Yixiao & Wang, Xuexin, 2020. "Asymptotic F tests under possibly weak identification," Journal of Econometrics, Elsevier, vol. 218(1), pages 140-177.
    9. Kleibergen, Frank & Kong, Lingwei, 2025. "Identification robust inference for the risk premium in term structure models," Journal of Econometrics, Elsevier, vol. 248(C).
    10. Gregory Cox, 2022. "Weak Identification in Low-Dimensional Factor Models with One or Two Factors," Papers 2211.00329, arXiv.org, revised Mar 2024.
    11. Purevdorj Tuvaandorj, 2021. "Robust Permutation Tests in Linear Instrumental Variables Regression," Papers 2111.13774, arXiv.org, revised Jul 2024.
    12. Frank Kleibergen & Zhaoguo Zhan, 2021. "Double robust inference for continuous updating GMM," Papers 2105.08345, arXiv.org.
    13. Cheng, Xu, 2015. "Robust inference in nonlinear models with mixed identification strength," Journal of Econometrics, Elsevier, vol. 189(1), pages 207-228.
    14. Steven T. Berry & Philip A. Haile, 2021. "Foundations of Demand Estimation," Cowles Foundation Discussion Papers 2301, Cowles Foundation for Research in Economics, Yale University.
    15. Andrews, Donald W.K. & Cheng, Xu & Guggenberger, Patrik, 2020. "Generic results for establishing the asymptotic size of confidence sets and tests," Journal of Econometrics, Elsevier, vol. 218(2), pages 496-531.
    16. 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).
    17. Chaudhuri, Saraswata & Renault, Eric, 2020. "Score tests in GMM: Why use implied probabilities?," Journal of Econometrics, Elsevier, vol. 219(2), pages 260-280.

  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. 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.
    2. Qing Liu & Chiyu Xia & Xiaohui Liu, 2025. "Limit theory for an AR(1) model with intercept and a possible infinite variance," Indian Journal of Pure and Applied Mathematics, Springer, vol. 56(2), pages 615-630, June.
    3. Vasilios Plakandaras & Rangan Gupta & Mehmet Balcilar & Qiang Ji, 2021. "Evolving United States Stock Market Volatility: The Role of Conventional and Unconventional Monetary Policies," Working Papers 202113, University of Pretoria, Department of Economics.
    4. 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.
    5. 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.
    6. Mohitosh Kejriwal & Xuewen Yu & Pierre Perron, 2020. "Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(5), pages 676-690, September.
    7. 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.
    8. 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.
    9. Ronald W. Butler & Marc S. Paolella, 2017. "Autoregressive Lag—Order Selection Using Conditional Saddlepoint Approximations," Econometrics, MDPI, vol. 5(3), pages 1-33, September.
    10. Andrews, Donald W.K. & Cheng, Xu & Guggenberger, Patrik, 2020. "Generic results for establishing the asymptotic size of confidence sets and tests," Journal of Econometrics, Elsevier, vol. 218(2), pages 496-531.

  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. 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.
    2. Donald W.K. Andrews & Xiaoxia Shi, 2010. "Inference Based on Conditional Moment Inequalities," Cowles Foundation Discussion Papers 1761R, Cowles Foundation for Research in Economics, Yale University, revised Jul 2011.
    3. 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.
    4. Adam McCloskey, 2012. "Bonferroni-Based Size-Correction for Nonstandard Testing Problems," Working Papers 2012-16, Brown University, Department of Economics.
    5. Donald W. K. Andrews & Ming Li, 2025. "Inference in a stationary/nonstationary autoregressive time‐varying‐parameter model," Quantitative Economics, Econometric Society, vol. 16(3), pages 823-858, July.
    6. Moreira, Humberto & Moreira, Marcelo J., 2019. "Optimal two-sided tests for instrumental variables regression with heteroskedastic and autocorrelated errors," Journal of Econometrics, Elsevier, vol. 213(2), pages 398-433.
    7. Alejandro Sanchez-Becerra, 2023. "Robust inference for the treatment effect variance in experiments using machine learning," Papers 2306.03363, arXiv.org.
    8. 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.
    9. Hugo Kruiniger, 2025. "Uniform Quasi ML based inference for the panel AR(1) model," Papers 2508.20855, arXiv.org, revised Dec 2025.
    10. Xiaohong Chen & Maria Ponomareva & Elie Tamer, 2013. "Likelihood inference in some finite mixture models," CeMMAP working papers 19/13, Institute for Fiscal Studies.
    11. 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.
    12. 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.
    13. 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.
    14. 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.
    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. Ketz, Philipp, 2019. "On asymptotic size distortions in the random coefficients logit model," Journal of Econometrics, Elsevier, vol. 212(2), pages 413-432.
    17. 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.
    18. 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.
    19. 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.
    20. 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.
    21. Holberg, Christian & Ditlevsen, Susanne, 2025. "Uniform inference for cointegrated vector autoregressive processes," Journal of Econometrics, Elsevier, vol. 247(C).
    22. Oguzhan Akgun & Ryo Okui, 2025. "Robust Inference Methods for Latent Group Panel Models under Possible Group Non-Separation," Papers 2511.18550, arXiv.org.
    23. Lim, Dennis & Wang, Wenjie & Zhang, Yichong, 2024. "A conditional linear combination test with many weak instruments," Journal of Econometrics, Elsevier, vol. 238(2).
    24. John C. Chao & Peter C. B. Phillips, 2019. "Uniform Inference in Panel Autoregression," Econometrics, MDPI, vol. 7(4), pages 1-28, November.
    25. Forneron, Jean-Jacques, 2024. "Detecting identification failure in moment condition models," Journal of Econometrics, Elsevier, vol. 238(1).
    26. 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.
    27. Donald W.K. Andrews & Patrik Guggenberger, 2011. "A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter," Cowles Foundation Discussion Papers 1812R, Cowles Foundation for Research in Economics, Yale University, revised Dec 2012.
    28. Gregory Fletcher Cox, 2020. "Weak Identification with Bounds in a Class of Minimum Distance Models," Papers 2012.11222, arXiv.org, revised Oct 2025.
    29. Philipp Ketz & Adam McCloskey, 2021. "Short and Simple Confidence Intervals when the Directions of Some Effects are Known," Papers 2109.08222, arXiv.org.
    30. Gregory Fletcher Cox, 2024. "A Simple and Adaptive Confidence Interval when Nuisance Parameters Satisfy an Inequality," Papers 2409.09962, arXiv.org.
    31. 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.
    32. Chengwang Liao & Ziwei Mei & Zhentao Shi, 2024. "Nickell Meets Stambaugh: A Tale of Two Biases in Panel Predictive Regressions," Papers 2410.09825, arXiv.org.
    33. Isaiah Andrews & Toru Kitagawa & Adam McCloskey, 2020. "Inference on winners," CeMMAP working papers CWP43/20, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    34. Lee, Adam & Mesters, Geert, 2024. "Locally robust inference for non-Gaussian linear simultaneous equations models," Journal of Econometrics, Elsevier, vol. 240(1).
    35. Ruoyao Shi, 2021. "An Averaging Estimator for Two Step M Estimation in Semiparametric Models," Working Papers 202105, University of California at Riverside, Department of Economics.
    36. Patrik Guggenberger & Frank Kleibergen & Sophocles Mavroeidis, 2021. "A Powerful Subvector Anderson Rubin Test in Linear Instrumental Variables Regression with Conditional Heteroskedasticity," Papers 2103.11371, arXiv.org, revised Oct 2022.
    37. Luis Alvarez & Bruno Ferman, 2025. "On the relationship between prediction intervals, tests of sharp nulls and inference on realized treatment effects in settings with few treated units," Papers 2506.14998, arXiv.org.
    38. 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.
    39. 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.
    40. 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.
    41. Purevdorj Tuvaandorj, 2021. "Robust Permutation Tests in Linear Instrumental Variables Regression," Papers 2111.13774, arXiv.org, revised Jul 2024.
    42. Cheng, Xu, 2015. "Robust inference in nonlinear models with mixed identification strength," Journal of Econometrics, Elsevier, vol. 189(1), pages 207-228.
    43. Xiaoxia Shi, 2015. "A nondegenerate Vuong test," Quantitative Economics, Econometric Society, vol. 6(1), pages 85-121, March.
    44. Andrews, Donald W.K. & Cheng, Xu, 2013. "Maximum likelihood estimation and uniform inference with sporadic identification failure," Journal of Econometrics, Elsevier, vol. 173(1), pages 36-56.
    45. 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.
    46. Ketz, Philipp, 2018. "Subvector inference when the true parameter vector may be near or at the boundary," Journal of Econometrics, Elsevier, vol. 207(2), pages 285-306.
    47. Isaiah Andrews & Anna Mikusheva, 2016. "Conditional Inference With a Functional Nuisance Parameter," Econometrica, Econometric Society, vol. 84(4), pages 1571-1612, July.
    48. Ruoyao Shi & Zhipeng Liao, 2018. "An Averaging GMM Estimator Robust to Misspecification," Working Papers 201803, University of California at Riverside, Department of Economics.

  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. 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.
    2. 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.
    3. 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.
    4. 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.
    5. Lu, Cuicui & Wooldridge, Jeffrey M., 2017. "Quasi-generalized least squares regression estimation with spatial data," Economics Letters, Elsevier, vol. 156(C), pages 138-141.
    6. Andrews, Donald W.K. & Cheng, Xu & Guggenberger, Patrik, 2020. "Generic results for establishing the asymptotic size of confidence sets and tests," Journal of Econometrics, Elsevier, vol. 218(2), pages 496-531.

  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. Christopher P. Chambers & Federico Echenique & Nicolas Lambert, 2019. "Recovering Preferences from Finite Data," Papers 1909.05457, arXiv.org, revised Oct 2020.
    2. 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.
    3. 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.
    4. Menzel, Konrad, 2014. "Consistent estimation with many moment inequalities," Journal of Econometrics, Elsevier, vol. 182(2), pages 329-350.
    5. 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.
    6. 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.
    7. Xiaohong Chen & Timothy M. Christensen & Keith O'Hara & Elie Tamer, 2016. "MCMC confidence sets for identified sets," CeMMAP working papers CWP28/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    8. Federico A. Bugni & Ivan A. Canay & Xiaoxia Shi, 2014. "Inference for functions of partially identified parameters in moment inequality models," CeMMAP working papers CWP05/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    9. Bontemps, Christian & Magnac, Thierry & Maurin, Eric, 2007. "Set Identified Linear Models," IDEI Working Papers 494, Institut d'Économie Industrielle (IDEI), Toulouse.
    10. Jorg Stoye, 2008. "More on confidence intervals for partially identified parameters," CeMMAP working papers CWP11/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    11. 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.
    12. Yuan Liao & Anna Simoni, 2012. "Semi-parametric Bayesian Partially Identified Models based on Support Function," Papers 1212.3267, arXiv.org, revised Nov 2013.
    13. Bruno Fava, 2025. "Training and Testing with Multiple Splits: A Central Limit Theorem for Split-Sample Estimators," Papers 2511.04957, arXiv.org, revised Nov 2025.
    14. Hyungsik Roger Moon & Frank Schorfheide, 2009. "Bayesian and Frequentist Inference in Partially Identified Models," NBER Working Papers 14882, National Bureau of Economic Research, Inc.
    15. Donald W.K. Andrews & Xiaoxia Shi, 2010. "Inference Based on Conditional Moment Inequalities," Cowles Foundation Discussion Papers 1761, Cowles Foundation for Research in Economics, Yale University.
    16. Byunghoon Kang, 2017. "Inference in Nonparametric Series Estimation with Data-Dependent Undersmoothing," Working Papers 170712442, Lancaster University Management School, Economics Department.
    17. Armstrong, Timothy B., 2014. "Weighted KS statistics for inference on conditional moment inequalities," Journal of Econometrics, Elsevier, vol. 181(2), pages 92-116.
    18. João Madeira & Nuno Palma, 2018. "Measuring Monetary Policy Deviations from the Taylor Rule," Economics Discussion Paper Series 1803, Economics, The University of Manchester.
    19. 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.
    20. Jorg Stoye & Yuichi Kitamura, 2017. "Nonparametric analysis of random utility models," CeMMAP working papers 56/17, Institute for Fiscal Studies.
    21. 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.
    22. Aviv Nevo & Adam Rosen, 2008. "Identification with imperfect instruments," CeMMAP working papers CWP16/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    23. Ivan A. Canay & Azeem M. Shaikh, 2016. "Practical and theoretical advances in inference for partially identified models," CeMMAP working papers CWP05/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    24. 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.
    25. Hiroaki Kaido & Francesca Molinari & Jorg Stoye, 2016. "Confidence Intervals for Projections of Partially Identified Parameters," Papers 1601.00934, arXiv.org, revised Jun 2019.
    26. Hyungsik Roger Moon & Frank Schorfheide & Eleonora Granziera & Mihye Lee, 2011. "Inference for VARs Identified with Sign Restrictions," NBER Working Papers 17140, National Bureau of Economic Research, Inc.
    27. Coroneo, Laura & Corradi, Valentina & Santos Monterio, Paulo, "undated". "Testing for optimal monetary policy via moment inequalities," Economic Research Papers 270654, University of Warwick - Department of Economics.
    28. 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.
    29. Kaido, Hiroaki, 2016. "A dual approach to inference for partially identified econometric models," Journal of Econometrics, Elsevier, vol. 192(1), pages 269-290.
    30. Yuan Liao & Anna Simoni, 2019. "Bayesian inference for partially identified smooth convex models," Post-Print hal-03089881, HAL.
    31. 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.
    32. Ian Crawford & Bram De Rock, 2013. "Empirical Revealed Preference," Working Papers ECARES ECARES 2013-32, ULB -- Universite Libre de Bruxelles.
    33. Andrew Chesher & Adam Rosen, 2016. "Characterizations of identified sets delivered by structural econometric models," CeMMAP working papers 44/16, Institute for Fiscal Studies.
    34. 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.
    35. Rami V. Tabri & Christopher D. Walker, 2020. "Inference for Moment Inequalities: A Constrained Moment Selection Procedure," Papers 2008.09021, arXiv.org, revised Aug 2020.
    36. 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.
    37. Andrew Chesher & Adam Rosen, 2014. "Generalized instrumental variable models," CeMMAP working papers 04/14, Institute for Fiscal Studies.
    38. 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.
    39. 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.
    40. 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.
    41. 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.
    42. Zheng Fang, 2021. "A Unifying Framework for Testing Shape Restrictions," Papers 2107.12494, arXiv.org, revised Aug 2021.
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    45. Rosen, Adam M., 2008. "Confidence sets for partially identified parameters that satisfy a finite number of moment inequalities," Journal of Econometrics, Elsevier, vol. 146(1), pages 107-117, September.
    46. Johan Vikström & Geert Ridder & Martin Weidner, 2015. "Bounds on treatment effects on transitions," CeMMAP working papers CWP01/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    47. 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.
    48. Denis Chetverikov, 2012. "Adaptive test of conditional moment inequalities," CeMMAP working papers 36/12, Institute for Fiscal Studies.
    49. Tamer, Elie & Kline, Brendan, 2016. "Bayesian inference in a class of partially identified models," Scholarly Articles 30780157, Harvard University Department of Economics.
    50. Marcoux, Mathieu & Russell, Thomas M. & Wan, Yuanyuan, 2024. "A simple specification test for models with many conditional moment inequalities," Journal of Econometrics, Elsevier, vol. 242(1).
    51. Federico A. Bugni & Ivan A. Canay & Xiaoxia Shi, 2014. "Specification tests for partially identified models defined by moment inequalities," CeMMAP working papers CWP19/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    52. Ariel Pakes, 2008. "Theory and Empirical Work on Imperfectly Competitive Markets," NBER Working Papers 14117, National Bureau of Economic Research, Inc.
    53. Weese, Eric, 2013. "Political Mergers as Coalition Formation: An Analysis of the Heisei Municipal Amalgamations," Center Discussion Papers 148748, Yale University, Economic Growth Center.
    54. 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.
    55. Marine Carrasco & N'Golo Koné, 2023. "Test for Trading Costs Effect in a Portfolio Selection Problem with Recursive Utility," CIRANO Working Papers 2023s-03, CIRANO.
    56. Demet Yilmazkuday & Hakan Yilmazkuday, 2017. "The role of direct flights in trade costs," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 153(2), pages 249-270, May.
    57. 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.
    58. Stefan Boes, 2009. "Bounds on Counterfactual Distributions Under Semi-Monotonicity Constraints," SOI - Working Papers 0920, Socioeconomic Institute - University of Zurich.
    59. Francesca Molinari, 2020. "Microeconometrics with Partial Identification," Papers 2004.11751, arXiv.org.
    60. 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.
    61. Arulampalam, Wiji & Corradi, Valentina & Gutknecht, Daniel, 2014. "Modelling Heaped Duration Data: An Application to Neonatal Mortality," IZA Discussion Papers 8493, IZA Network @ LISER.
    62. Wooyoung Kim & Koohyun Kwon & Soonwoo Kwon & Sokbae (Simon) Lee, 2014. "The identification power of smoothness assumptions in models with counterfactual outcomes," CeMMAP working papers 17/14, Institute for Fiscal Studies.
    63. Andrews, Donald W.K. & Shi, Xiaoxia, 2014. "Nonparametric inference based on conditional moment inequalities," Journal of Econometrics, Elsevier, vol. 179(1), pages 31-45.
    64. Joseph P. Romano & Azeem M. Shaikh & Michael Wolf, 2012. "A practical two-step method for testing moment inequalities," ECON - Working Papers 090, Department of Economics - University of Zurich, revised Apr 2014.
    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. Xiaohong Chen & Timothy M. Christensen & Elie Tamer, 2017. "Monte Carlo confidence sets for identified sets," CeMMAP working papers 43/17, Institute for Fiscal Studies.
    68. 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.
    69. McCloskey, Adam, 2017. "Bonferroni-based size-correction for nonstandard testing problems," Journal of Econometrics, Elsevier, vol. 200(1), pages 17-35.
    70. 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.
    71. Hiroaki Kaido & Jiaxuan Li & Marc Rysman, 2018. "Moment Inequalities in the Context of Simulated and Predicted Variables," Papers 1804.03674, arXiv.org.
    72. 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.
    73. Johan Vikström & Geert Ridder & Martin Weidner, 2016. "Bounds On Treatment Effects On Transitions," CeMMAP working papers 17/16, Institute for Fiscal Studies.
    74. Thomas Demuynck, 2018. "Testing the homogeneous marginal utility of income assumption," ULB Institutional Repository 2013/251991, ULB -- Universite Libre de Bruxelles.
    75. Berkowitz, Daniel & Caner, Mehmet & Fang, Ying, 2012. "The validity of instruments revisited," Journal of Econometrics, Elsevier, vol. 166(2), pages 255-266.
    76. 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.
    77. Francesca Molinari, 2019. "Econometrics with Partial Identification," CeMMAP working papers CWP25/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    78. Armstrong, Timothy B., 2015. "Asymptotically exact inference in conditional moment inequality models," Journal of Econometrics, Elsevier, vol. 186(1), pages 51-65.
    79. Fernando Borraz & Alberto Cavallo & Roberto Rigobon & Leandro Zipitría, 2012. "Distance and Political Boundaries. Estimating Border Effects under Inequality Constraints," Documentos de trabajo 2012001, Banco Central del Uruguay.
    80. 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).
    81. Gregory Cox & Xiaoxia Shi, 2019. "Simple Adaptive Size-Exact Testing for Full-Vector and Subvector Inference in Moment Inequality Models," Papers 1907.06317, arXiv.org, revised Aug 2020.
    82. Shi, Xiaoxia, 2015. "Model selection tests for moment inequality models," Journal of Econometrics, Elsevier, vol. 187(1), pages 1-17.
    83. Timothy B. Armstrong & Michal Koles'ar, 2018. "Sensitivity Analysis using Approximate Moment Condition Models," Papers 1808.07387, arXiv.org, revised Jul 2020.
    84. 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.
    85. Nick Koning & Paul Bekker, 2019. "Exact Testing of Many Moment Inequalities Against Multiple Violations," Papers 1904.12775, arXiv.org, revised Jun 2020.
    86. 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.
    87. Susanne M. Schennach, 2013. "Entropic Latent Variable Integration via Simulation," CeMMAP working papers 32/13, Institute for Fiscal Studies.
    88. 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.
    89. Johan Vikström & Geert Ridder & Martin Weidner, 2015. "Bounds on treatment effects on transitions," CeMMAP working papers 01/15, Institute for Fiscal Studies.
    90. Cheng, Xu, 2015. "Robust inference in nonlinear models with mixed identification strength," Journal of Econometrics, Elsevier, vol. 189(1), pages 207-228.
    91. 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.
    92. Jack Fosten & Daniel Gutknecht & Marc-Oliver Pohle, 2023. "Testing Quantile Forecast Optimality," Papers 2302.02747, arXiv.org, revised Oct 2023.
    93. 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.
    94. 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.
    95. Andrews, Donald W.K. & Cheng, Xu & Guggenberger, Patrik, 2020. "Generic results for establishing the asymptotic size of confidence sets and tests," Journal of Econometrics, Elsevier, vol. 218(2), pages 496-531.
    96. Thierry Magnac, 2013. "Identification partielle : méthodes et conséquences pour les applications empiriques," L'Actualité Economique, Société Canadienne de Science Economique, vol. 89(4), pages 233-258.
    97. Bontemps, Christian & Magnac, Thierry, 2017. "Set Identification, Moment Restrictions and Inference," TSE Working Papers 16-752, Toulouse School of Economics (TSE).
    98. Fan, Yanqin & Park, Sang Soo, 2010. "Confidence sets for some partially identified parameters," MPRA Paper 37149, University Library of Munich, Germany.
    99. Laurens Cherchye & Bram De Rock & Thomas Demuynck, 2017. "Bounding Counterfactual Demand with Unobserved Heterogeneity and Endogenous Expenditures," Working Papers ECARES ECARES 2017-41, ULB -- Universite Libre de Bruxelles.
    100. Timothy B. Armstrong, 2016. "On the Choice of Test Statistic for Conditional Moment Inequalities," Cowles Foundation Discussion Papers 1960R, Cowles Foundation for Research in Economics, Yale University.
    101. 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.
    102. Bei, Xinyue, 2024. "Local linearization based subvector inference in moment inequality models," Journal of Econometrics, Elsevier, vol. 238(1).
    103. 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.

  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. Otsu, Taisuke, 2010. "On Bahadur efficiency of empirical likelihood," Journal of Econometrics, Elsevier, vol. 157(2), pages 248-256, August.
    2. Moon, Hyungsik Roger & Schorfheide, Frank, 2009. "Estimation with overidentifying inequality moment conditions," Journal of Econometrics, Elsevier, vol. 153(2), pages 136-154, December.
    3. 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.
    4. 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.
    5. Huber, Martin & Mellace, Giovanni, 2011. "Testing instrument validity for LATE identification based on inequality moment constraints," Economics Working Paper Series 1143, University of St. Gallen, School of Economics and Political Science.

  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. Chevillon, Guillaume & Mavroeidis, Sophocles, 2011. "Learning generates Long Memory," ESSEC Working Papers WP1113, ESSEC Research Center, ESSEC Business School.
    5. 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.
    6. 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.
    7. Giraitis, L. & Kapetanios, G. & Yates, T., 2014. "Inference on stochastic time-varying coefficient models," Journal of Econometrics, Elsevier, vol. 179(1), pages 46-65.
    8. Chevillon, Guillaume & Mavroeidis, Sophocles, 2018. "Perpetual learning and apparent long memory," Journal of Economic Dynamics and Control, Elsevier, vol. 90(C), pages 343-365.
    9. 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.

  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. 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.
    3. Donald W.K. Andrews & Patrik Guggenberger, 2011. "A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter," Cowles Foundation Discussion Papers 1812R, Cowles Foundation for Research in Economics, Yale University, revised Dec 2012.

  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.

    Cited by:

    1. 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.
    2. Adam McCloskey, 2012. "Bonferroni-Based Size-Correction for Nonstandard Testing Problems," Working Papers 2012-16, Brown University, Department of Economics.
    3. Moreira, Humberto & Moreira, Marcelo J., 2019. "Optimal two-sided tests for instrumental variables regression with heteroskedastic and autocorrelated errors," Journal of Econometrics, Elsevier, vol. 213(2), pages 398-433.
    4. 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.
    5. Ketz, Philipp, 2019. "On asymptotic size distortions in the random coefficients logit model," Journal of Econometrics, Elsevier, vol. 212(2), pages 413-432.
    6. Gregory Cox, 2022. "A Generalized Argmax Theorem with Applications," Papers 2209.08793, arXiv.org.
    7. 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.
    8. Gregory Fletcher Cox, 2024. "A Simple and Adaptive Confidence Interval when Nuisance Parameters Satisfy an Inequality," Papers 2409.09962, arXiv.org.
    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. 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. 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.
    12. Doko Tchatoka, Firmin & Wang, Wenjie, 2025. "Identification-Robust Two-Stage Bootstrap Tests with Pretesting for Exogeneity," MPRA Paper 125017, University Library of Munich, Germany.
    13. Doko Tchatoka, Firmin & Wang, Wenjie, 2024. "Weak-Identification-Robust Bootstrap Tests after Pretesting for Exogeneity," MPRA Paper 123060, University Library of Munich, Germany.
    14. Camponovo, Lorenzo & Scaillet, Olivier & Trojani, Fabio, 2012. "Robust subsampling," Journal of Econometrics, Elsevier, vol. 167(1), pages 197-210.
    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. Elliott, Graham & Müller, Ulrich K., 2014. "Pre and post break parameter inference," Journal of Econometrics, Elsevier, vol. 180(2), pages 141-157.
    17. Ketz, Philipp, 2018. "Subvector inference when the true parameter vector may be near or at the boundary," Journal of Econometrics, Elsevier, vol. 207(2), pages 285-306.

  12. 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.

  13. 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. 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.
    2. Victoria Zinde-Walsh, 2008. "Consequences of lack of smoothness in nonparametric estimation (in Russian)," Quantile, Quantile, issue 4, pages 57-69, March.
    3. 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.
    4. Uwe Hassler, 2011. "Estimation of fractional integration under temporal aggregation," Post-Print hal-00815563, HAL.
    5. Yoonseok Lee & Yu Zhou, 2015. "Averaged Instrumental Variables Estimators," Center for Policy Research Working Papers 180, Center for Policy Research, Maxwell School, Syracuse University.
    6. 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.
    7. 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.

  14. Guggenberger, Patrik & Kaul, Ashok & Kolmar, Martin, 2001. "Efficiency Properties of Labor Taxation in a Spatial Model of Restricted Labor Mobility," IZA Discussion Papers 287, IZA Network @ LISER.

    Cited by:

    1. 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.
    2. 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.

  15. 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. 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.
    2. 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.
    3. 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.
    4. 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.
    5. 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).
    6. 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.
    7. 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).
    8. Morana, Claudio, 2006. "A small scale macroeconometric model for the Euro-12 area," Economic Modelling, Elsevier, vol. 23(3), pages 391-426, May.
    9. Arteche, J., 2006. "Semiparametric estimation in perturbed long memory series," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2118-2141, December.
    10. Heni Boubaker & Giorgio Canarella & Rangan Gupta & Stephen M. Miller, 2020. "Hybrid ARFIMA Wavelet Artificial Neural Network Model for DJIA Index Forecasting," Working papers 2020-10, University of Connecticut, Department of Economics.
    11. 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.
    12. 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.
    13. 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.
    14. J. Eduardo Vera-Valdés, 2021. "Temperature Anomalies, Long Memory, and Aggregation," Econometrics, MDPI, vol. 9(1), pages 1-22, March.
    15. 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.
    16. Clifford Hurvich & Eric Moulines & Philippe Soulier, 2004. "Estimating Long Memory in Volatility," Econometrics 0412006, University Library of Munich, Germany.
    17. Abderrazak Ben Maatoug & Rim Lamouchi & Russell Davidson & Ibrahim Fatnassi, 2018. "Modelling Foreign Exchange Realized Volatility Using High Frequency Data: Long Memory versus Structural Breaks," Post-Print hal-01982032, HAL.
    18. Lee, Jin, 2005. "Estimating memory parameter in the US inflation rate," Economics Letters, Elsevier, vol. 87(2), pages 207-210, May.
    19. 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.
    20. 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.
    21. D.S. Poskitt & Gael M. Martin & Simone D. Grose, 2012. "Bias Reduction of Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap," Monash Econometrics and Business Statistics Working Papers 8/12, Monash University, Department of Econometrics and Business Statistics.
    22. 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.
    23. Fillol, Jerome, 2007. "Estimating long memory: Scaling function vs Andrews and Guggenberger GPH," Economics Letters, Elsevier, vol. 95(2), pages 309-314, May.
    24. 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.
    25. 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.
    26. Davidson, James & Sibbertsen, Philipp, 2005. "Tests of Bias in Log-Periodogram Regression," Hannover Economic Papers (HEP) dp-317, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    27. Javier Haulde & Morten Ørregaard Nielsen, 2022. "Fractional integration and cointegration," CREATES Research Papers 2022-02, Department of Economics and Business Economics, Aarhus University.
    28. 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.
    29. 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).
    30. Uwe Hassler, 2011. "Estimation of fractional integration under temporal aggregation," Post-Print hal-00815563, HAL.
    31. 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.
    32. 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.
    33. 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.
    34. 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.
    35. 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.
    36. Marc Henry & Peter M Robinson, 2002. "Higher-Order Kernel Semiparametric M-Estimation of Long Memory," STICERD - Econometrics Paper Series 436, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    37. Miller, J. Isaac & Park, Joon Y., 2005. "How They Interact to Generate Persistency in Memory," Working Papers 2005-01, Rice University, Department of Economics.
    38. Morana, Claudio, 2007. "Multivariate modelling of long memory processes with common components," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 919-934, October.
    39. Niels Haldrup & J. Eduardo Vera-Valdés, 2015. "Long Memory, Fractional Integration, and Cross-Sectional Aggregation," CREATES Research Papers 2015-59, Department of Economics and Business Economics, Aarhus University.
    40. Jin Lee, 2004. "Wavelet transform for log periodogram regression in long memory stochastic volatility model," Econometric Society 2004 Far Eastern Meetings 682, Econometric Society.
    41. 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.
    42. Mohamed Chikhi & Claude Diebolt, 2019. "Testing Nonlinearity through a Logistic Smooth Transition AR Model with Logistic Smooth Transition GARCH Errors," Working Papers of BETA 2019-06, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
    43. Federico Bandi & Benoit Perron, 2003. "Long memory and the relation between implied and realized volatility," Econometrics 0305004, University Library of Munich, Germany.
    44. 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.
    45. 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.
    46. Frederiksen, Per & Nielsen, Frank S. & Nielsen, Morten Ørregaard, 2012. "Local polynomial Whittle estimation of perturbed fractional processes," Journal of Econometrics, Elsevier, vol. 167(2), pages 426-447.
    47. 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.
    48. 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.
    49. 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.
    50. 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.
    51. 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.
    52. 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.
    53. 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.
    54. 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.
    55. 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.
    56. 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.
    57. 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.
    58. Adam McCloskey & Pierre Perron, 2012. "Memory Parameter Estimation in the Presence of Level Shifts and Deterministic Trends," Working Papers 2012-15, Brown University, Department of Economics.
    59. 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.
    60. 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.
    61. Mohamed Chikhi & Anne Péguin-Feissolle & Michel Terraza, 2013. "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," Computational Economics, Springer;Society for Computational Economics, vol. 41(2), pages 249-265, February.
    62. 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.
    63. Arteche González, Jesús María & Orbe Lizundia, Jesús María, 2008. "Selection of the number of frequencies using bootstrap techniques in log-periodogram regression," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
    64. 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.
    65. 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.
    66. Auer, Benjamin R., 2016. "On time-varying predictability of emerging stock market returns," Emerging Markets Review, Elsevier, vol. 27(C), pages 1-13.
    67. 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.
    68. 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.
    69. 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.
    70. 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.
    71. 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.
    72. 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.
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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. "Size-corrected Bootstrap Test after Pretesting for Exogeneity with Heteroskedastic or Clustered Data," MPRA Paper 110899, University Library of Munich, Germany.
    2. 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.
    3. 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.
    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. 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.
    6. 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.
    7. Doko Tchatoka, Firmin & Wang, Wenjie, 2025. "Identification-Robust Two-Stage Bootstrap Tests with Pretesting for Exogeneity," MPRA Paper 125017, University Library of Munich, Germany.
    8. Doko Tchatoka, Firmin & Wang, Wenjie, 2024. "Weak-Identification-Robust Bootstrap Tests after Pretesting for Exogeneity," MPRA Paper 123060, University Library of Munich, Germany.
    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. Ketz, Philipp, 2019. "Testing overidentifying restrictions with a restricted parameter space," Economics Letters, Elsevier, vol. 185(C).
    11. 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.
    12. Khoo, Joye & Cheung, Adrian (Wai Kong), 2024. "Firms' organisation capital: Do peers matter?," International Review of Financial Analysis, Elsevier, vol. 96(PA).
    13. 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.
    14. Doko Tchatoka, Firmin & Dufour, Jean-Marie, 2025. "Exogeneity tests and weak identification in IV regressions: Asymptotic theory and point estimation," Journal of Econometrics, Elsevier, vol. 248(C).
    15. Naoya Sueishi, 2022. "A Misuse of Specification Tests," Papers 2211.11915, arXiv.org, revised Sep 2025.

  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. Ketz, Philipp, 2019. "Testing overidentifying restrictions with a restricted parameter space," Economics Letters, Elsevier, vol. 185(C).
    2. Matthew A. Masten & Alexandre Poirier, 2018. "Salvaging Falsified Instrumental Variable Models," Papers 1812.11598, arXiv.org, revised Jan 2020.
    3. Jan F. Kiviet, 2015. "Discriminating between (in)valid external instruments and (in)valid exclusion restrictions," UvA-Econometrics Working Papers 15-04, Universiteit van Amsterdam, Dept. of Econometrics.
    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. Tetsuya Kaji, 2019. "Theory of Weak Identification in Semiparametric Models," Papers 1908.10478, arXiv.org, revised Aug 2020.
    3. 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.
    4. 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.
    5. Adam McCloskey, 2012. "Bonferroni-Based Size-Correction for Nonstandard Testing Problems," Working Papers 2012-16, Brown University, Department of Economics.
    6. 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.
    7. Pötscher, Benedikt M. & Preinerstorfer, David, 2016. "Controlling the Size of Autocorrelation Robust Tests," MPRA Paper 75657, University Library of Munich, Germany.
    8. Ludwig, Markus & Flückiger, Matthias, 2014. "Economic Shocks in the Fisheries Sector and Maritime Piracy," MPRA Paper 56959, University Library of Munich, Germany.
    9. 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.
    10. Hugo Kruiniger, 2025. "Uniform Quasi ML based inference for the panel AR(1) model," Papers 2508.20855, arXiv.org, revised Dec 2025.
    11. 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.
    12. Russell Davidson & James G. Mackinnon, 2015. "Bootstrap Tests for Overidentification in Linear Regression Models," Post-Print hal-01456100, HAL.
    13. Qu Feng & Sombut Jaidee & Wenjie Wang, 2025. "Robust Inference with High-Dimensional Instruments," Papers 2506.23834, arXiv.org.
    14. 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.
    15. 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.
    16. Yinchu Zhu, 2018. "Learning non-smooth models: instrumental variable quantile regressions and related problems," Papers 1805.06855, arXiv.org, revised Sep 2019.
    17. 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.
    18. 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.
    19. Wenjie Wang & Yichong Zhang, 2021. "Wild Bootstrap for Instrumental Variables Regressions with Weak and Few Clusters," Papers 2108.13707, arXiv.org, revised Jan 2024.
    20. 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, revised Jan 2013.
    21. Forneron, Jean-Jacques, 2024. "Detecting identification failure in moment condition models," Journal of Econometrics, Elsevier, vol. 238(1).
    22. Maurice J. G. Bun & Frank Kleibergen, 2021. "Identification robust inference for moments based analysis of linear dynamic panel data models," Papers 2105.08346, arXiv.org.
    23. Malte Londschien, 2025. "A statistician's guide to weak-instrument-robust inference in instrumental variables regression with illustrations in Python," Papers 2508.12474, arXiv.org.
    24. Gregory Fletcher Cox, 2020. "Weak Identification with Bounds in a Class of Minimum Distance Models," Papers 2012.11222, arXiv.org, revised Oct 2025.
    25. Christian Bontemps & Thierry Magnac, 2017. "Set identification, moment restrictions, and inference," Post-Print hal-01575813, HAL.
    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. Kleibergen, Frank, 2021. "Efficient size correct subset inference in homoskedastic linear instrumental variables regression," Journal of Econometrics, Elsevier, vol. 221(1), pages 78-96.
    28. Liyu Dou & Pengjin Min & Wenjie Wang & Yichong Zhang, 2025. "An Improved Inference for IV Regressions," Papers 2506.23816, arXiv.org, revised Feb 2026.
    29. 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.
    30. Patrik Guggenberger & Frank Kleibergen & Sophocles Mavroeidis, 2021. "A Powerful Subvector Anderson Rubin Test in Linear Instrumental Variables Regression with Conditional Heteroskedasticity," Papers 2103.11371, arXiv.org, revised Oct 2022.
    31. Kleibergen, Frank & Kong, Lingwei, 2025. "Identification robust inference for the risk premium in term structure models," Journal of Econometrics, Elsevier, vol. 248(C).
    32. Frank Kleibergen & Lingwei Kong, 2023. "Identification Robust Inference for the Risk Premium in Term Structure Models," Papers 2307.12628, arXiv.org.
    33. 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.
    34. 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.
    35. Frank Kleibergen & Zhaoguo Zhan, 2021. "Double robust inference for continuous updating GMM," Papers 2105.08345, arXiv.org.
    36. Anna Mikusheva, 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.
    37. Wang, Wenjie, 2021. "Wild Bootstrap for Instrumental Variables Regression with Weak Instruments and Few Clusters," MPRA Paper 106227, University Library of Munich, Germany.
    38. Cheng, Xu, 2015. "Robust inference in nonlinear models with mixed identification strength," Journal of Econometrics, Elsevier, vol. 189(1), pages 207-228.
    39. Dennis Lim & Wenjie Wang & Yichong Zhang, 2024. "A Dimension-Agnostic Bootstrap Anderson-Rubin Test For Instrumental Variable Regressions," Papers 2412.01603, arXiv.org, revised Sep 2025.
    40. 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.
    41. Andrews, Donald W.K. & Cheng, Xu & Guggenberger, Patrik, 2020. "Generic results for establishing the asymptotic size of confidence sets and tests," Journal of Econometrics, Elsevier, vol. 218(2), pages 496-531.
    42. 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.
    43. Khalaf, Lynda & Urga, Giovanni, 2014. "Identification robust inference in cointegrating regressions," Journal of Econometrics, Elsevier, vol. 182(2), pages 385-396.

  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. Federico A. Bugni & Ivan A. Canay & Xiaoxia Shi, 2014. "Inference for functions of partially identified parameters in moment inequality models," CeMMAP working papers CWP05/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    2. Lavergne, Pascal, 2015. "Assessing the Approximate Validity of Moment Restrictions," TSE Working Papers 15-562, Toulouse School of Economics (TSE), revised May 2020.
    3. 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.
    4. Lixiong Li & Désiré Kédagni & Ismaël Mourifié, 2024. "Discordant relaxations of misspecified models," Quantitative Economics, Econometric Society, vol. 15(2), pages 331-379, May.
    5. St'ephane Bonhomme & Martin Weidner, 2018. "Minimizing Sensitivity to Model Misspecification," Papers 1807.02161, arXiv.org, revised Oct 2021.
    6. 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.
    7. 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.
    8. Stéphane Bonhomme & Martin Weidner, 2022. "Minimizing sensitivity to model misspecification," Quantitative Economics, Econometric Society, vol. 13(3), pages 907-954, July.
    9. 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.
    10. Francesca Molinari, 2019. "Econometrics with Partial Identification," CeMMAP working papers CWP25/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    11. Guggenberger, Patrik, 2012. "A note on the relation between local power and robustness to misspecification," Economics Letters, Elsevier, vol. 116(2), pages 133-135.
    12. Kaido, Hiroaki & White, Halbert, 2014. "A two-stage procedure for partially identified models," Journal of Econometrics, Elsevier, vol. 182(1), pages 5-13.

  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. 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.
    2. 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.
    3. 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.
    4. Lavergne, Pascal, 2015. "Assessing the Approximate Validity of Moment Restrictions," TSE Working Papers 15-562, Toulouse School of Economics (TSE), revised May 2020.
    5. 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.
    6. Jungbin Hwang & Byunghoon Kang & Seojeong Lee, 2019. "A Doubly Corrected Robust Variance Estimator for Linear GMM," Papers 1908.07821, arXiv.org, revised May 2020.
    7. Isaiah Andrews & Matthew Gentzkow & Jesse M. Shapiro, 2018. "On the Informativeness of Descriptive Statistics for Structural Estimates," NBER Working Papers 25217, National Bureau of Economic Research, Inc.
    8. Timothy B. Armstrong & Michal Kolesár, 2020. "Sensitivity Analysis using Approximate Moment Condition Models," Working Papers 2020-28, Princeton University. Economics Department..
    9. Antoine, Bertille & Dovonon, Prosper, 2021. "Robust estimation with exponentially tilted Hellinger distance," Journal of Econometrics, Elsevier, vol. 224(2), pages 330-344.
    10. St'ephane Bonhomme & Martin Weidner, 2018. "Minimizing Sensitivity to Model Misspecification," Papers 1807.02161, arXiv.org, revised Oct 2021.
    11. 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.
    12. 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.
    13. 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.
    14. 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.
    15. 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.
    16. Byunghoon Kang, 2018. "Higher Order Approximation of IV Estimators with Invalid Instruments," Working Papers 257105320, Lancaster University Management School, Economics Department.
    17. Stéphane Bonhomme & Martin Weidner, 2022. "Minimizing sensitivity to model misspecification," Quantitative Economics, Econometric Society, vol. 13(3), pages 907-954, July.
    18. Doko Tchatoka, Firmin Sabro, 2012. "Specification Tests with Weak and Invalid Instruments," MPRA Paper 40185, University Library of Munich, Germany.
    19. Jan F. KIVIET & Jerzy NIEMCZYK, 2013. "On the limiting and empirical distributions of IV estimators when some of the instruments are actually endogenous," Economic Growth Centre Working Paper Series 1311, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
    20. Kolesar, Michal & Chetty, Raj & Friedman, John & Glaeser, Edward Ludwig & Imbens, Guido, 2015. "Identification and Inference With Many Invalid Instruments," Scholarly Articles 27769098, Harvard University Department of Economics.
    21. Doko Tchatoka, Firmin & Wang, Wenjie, 2021. "Uniform Inference after Pretesting for Exogeneity with Heteroskedastic Data," MPRA Paper 106408, University Library of Munich, Germany.
    22. 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.
    23. 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.
    24. 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.
    25. 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.
    26. Doko Tchatoka, Firmin & Wang, Wenjie, 2025. "Identification-Robust Two-Stage Bootstrap Tests with Pretesting for Exogeneity," MPRA Paper 125017, University Library of Munich, Germany.
    27. Doko Tchatoka, Firmin & Wang, Wenjie, 2024. "Weak-Identification-Robust Bootstrap Tests after Pretesting for Exogeneity," MPRA Paper 123060, University Library of Munich, Germany.
    28. 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.
    29. 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.
    30. 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.
    31. Guggenberger, Patrik, 2012. "A note on the relation between local power and robustness to misspecification," Economics Letters, Elsevier, vol. 116(2), pages 133-135.
    32. 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.
    33. Thorsten Janus & Daniel Riera-Crichton, 2016. "Banking crises, external crises and gross capital flows," Globalization Institute Working Papers 273, Federal Reserve Bank of Dallas.
    34. 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.
    35. 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.
    36. 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.
    37. Ruoyao Shi & Zhipeng Liao, 2018. "An Averaging GMM Estimator Robust to Misspecification," Working Papers 201803, University of California at Riverside, Department of Economics.
    38. Abadie, Alberto & Gu, Jiaying & Shen, Shu, 2024. "Instrumental variable estimation with first-stage heterogeneity," Journal of Econometrics, Elsevier, vol. 240(2).
    39. 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.
    40. Prosper Dovonon & Nikolay Gospodinov, 2025. "A Uniformly Valid Test for Instrument Exogeneity," FRB Atlanta Working Paper 2025-9, Federal Reserve Bank of Atlanta.

  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. 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.
    2. 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.
    3. 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.
    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. 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.
    3. 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.
    4. Clément de Chaisemartin, 2012. "Fuzzy differences in differences," PSE Working Papers halshs-00671368, HAL.
    5. Donald W.K. Andrews & Xiaoxia Shi, 2010. "Inference Based on Conditional Moment Inequalities," Cowles Foundation Discussion Papers 1761R, Cowles Foundation for Research in Economics, Yale University, revised Jul 2011.
    6. Federico A. Bugni & Joel L. Horowitz, 2018. "Permutation tests for equality of distributions of functional data," CeMMAP working papers CWP18/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    7. 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.
    8. Giuseppe Cavaliere & Adam McCloskey & Rasmus S. Pedersen & Anders Rahbek, 2025. "Uniform Critical Values for Likelihood Ratio Tests in Boundary Problems," Papers 2507.19603, arXiv.org.
    9. Adam McCloskey, 2012. "Bonferroni-Based Size-Correction for Nonstandard Testing Problems," Working Papers 2012-16, Brown University, Department of Economics.
    10. Joseph Fry, 2023. "A Method of Moments Approach to Asymptotically Unbiased Synthetic Controls," Papers 2312.01209, arXiv.org, revised Mar 2024.
    11. 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.
    12. Elliott, Graham & Müller, Ulrich K, 2014. "Pre and post break parameter inference," University of California at San Diego, Economics Working Paper Series qt4j733246, Department of Economics, UC San Diego.
    13. Audrino, Francesco & Camponovo, Lorenzo, 2013. "Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models," Economics Working Paper Series 1327, University of St. Gallen, School of Economics and Political Science.
    14. 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.
    15. 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.
    16. Firpo, Sergio & Galvao, Antonio F. & Parker, Thomas, 2023. "Uniform inference for value functions," Journal of Econometrics, Elsevier, vol. 235(2), pages 1680-1699.
    17. 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.
    18. 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.
    19. Qihui Chen & Zheng Fang, 2019. "Inference on Functionals under First Order Degeneracy," Papers 1901.04861, arXiv.org.
    20. Dimri, Aditi & Gille, Véronique & Ketz, Philipp, 2024. "Measuring sex-selective abortion: How many women abort?," Journal of Development Economics, Elsevier, vol. 171(C).
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    23. Aditi Dimri & Véronique Gille & Philipp Ketz, 2024. "Measuring sex-selective abortion: How many women abort?," Post-Print hal-04671748, HAL.
    24. Ketz, Philipp, 2019. "On asymptotic size distortions in the random coefficients logit model," Journal of Econometrics, Elsevier, vol. 212(2), pages 413-432.
    25. 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 1665R, Cowles Foundation for Research in Economics, Yale University, revised Mar 2010.
    26. 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.
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    28. 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.
    29. Philipp Ketz, 2022. "Allowing for weak identification when testing GARCH-X type models," Papers 2210.11398, arXiv.org.
    30. 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.
    31. Firmin Doko Tchatoka, 2014. "On Bootstrap Validity for Specification Tests with Weak Instruments," School of Economics and Public Policy Working Papers 2014-06, University of Adelaide, School of Economics and Public Policy.
    32. Stephen Ryan & Catherine Tucker, 2012. "Heterogeneity and the dynamics of technology adoption," Quantitative Marketing and Economics (QME), Springer, vol. 10(1), pages 63-109, March.
    33. Philipp Ketz & Adam McCloskey, 2021. "Short and Simple Confidence Intervals when the Directions of Some Effects are Known," Papers 2109.08222, arXiv.org.
    34. Gregory Fletcher Cox, 2024. "A Simple and Adaptive Confidence Interval when Nuisance Parameters Satisfy an Inequality," Papers 2409.09962, arXiv.org.
    35. Linton, Oliver & Song, Kyungchul & Whang, Yoon-Jae, 2010. "An improved bootstrap test of stochastic dominance," Journal of Econometrics, Elsevier, vol. 154(2), pages 186-202, February.
    36. Doko Tchatoka, Firmin & Wang, Wenjie, 2021. "Uniform Inference after Pretesting for Exogeneity with Heteroskedastic Data," MPRA Paper 106408, University Library of Munich, Germany.
    37. 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.
    38. 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.
    39. Hassler, Uwe, 2010. "Testing regression coefficients after model selection through sign restrictions," Economics Letters, Elsevier, vol. 107(2), pages 220-223, May.
    40. Wang, Wenjie, 2020. "On the Inconsistency of Nonparametric Bootstraps for the Subvector Anderson-Rubin Test," MPRA Paper 99109, University Library of Munich, Germany.
    41. 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.
    42. 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.
    43. Doko Tchatoka, Firmin & Wang, Wenjie, 2025. "Identification-Robust Two-Stage Bootstrap Tests with Pretesting for Exogeneity," MPRA Paper 125017, University Library of Munich, Germany.
    44. Doko Tchatoka, Firmin & Wang, Wenjie, 2024. "Weak-Identification-Robust Bootstrap Tests after Pretesting for Exogeneity," MPRA Paper 123060, University Library of Munich, Germany.
    45. Joseph P. Romano & Azeem M. Shaikh & Michael Wolf, 2012. "A practical two-step method for testing moment inequalities," ECON - Working Papers 090, Department of Economics - University of Zurich, revised Apr 2014.
    46. Joseph Fry, 2025. "Robust Inference when Nuisance Parameters may be Partially Identified with Applications to Synthetic Controls," Papers 2507.00307, arXiv.org, revised Jul 2025.
    47. Fry, Joseph, 2024. "A method of moments approach to asymptotically unbiased Synthetic Controls," Journal of Econometrics, Elsevier, vol. 244(1).
    48. Cheng, Xu & Renault, Eric & Sangrey, Paul, 2025. "Identifying the volatility risk price through the leverage effect," Journal of Econometrics, Elsevier, vol. 248(C).
    49. Berkowitz, Daniel & Caner, Mehmet & Fang, Ying, 2012. "The validity of instruments revisited," Journal of Econometrics, Elsevier, vol. 166(2), pages 255-266.
    50. Camponovo, Lorenzo & Scaillet, Olivier & Trojani, Fabio, 2012. "Robust subsampling," Journal of Econometrics, Elsevier, vol. 167(1), pages 197-210.
    51. Armstrong, Timothy B., 2015. "Asymptotically exact inference in conditional moment inequality models," Journal of Econometrics, Elsevier, vol. 186(1), pages 51-65.
    52. Joel L. Horowitz, 2018. "Bootstrap Methods in Econometrics," Papers 1809.04016, arXiv.org.
    53. Chen, Qihui & Fang, Zheng, 2019. "Inference on functionals under first order degeneracy," Journal of Econometrics, Elsevier, vol. 210(2), pages 459-481.
    54. Konrad Menzel, 2021. "Bootstrap With Cluster‐Dependence in Two or More Dimensions," Econometrica, Econometric Society, vol. 89(5), pages 2143-2188, September.
    55. 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.
    56. Anna Mikusheva, 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.
    57. Deborah Kim, 2020. "On the Size Control of the Hybrid Test for Predictive Ability," Papers 2008.02318, arXiv.org, revised Sep 2021.
    58. Cheng, Xu, 2015. "Robust inference in nonlinear models with mixed identification strength," Journal of Econometrics, Elsevier, vol. 189(1), pages 207-228.
    59. Patrick Bajari & Jeremy T. Fox & Kyoo il Kim & Stephen P. Ryan, 2009. "A Simple Nonparametric Estimator for the Distribution of Random Coefficients," NBER Working Papers 15210, National Bureau of Economic Research, Inc.
    60. Andrews, Donald W.K. & Cheng, Xu, 2013. "Maximum likelihood estimation and uniform inference with sporadic identification failure," Journal of Econometrics, Elsevier, vol. 173(1), pages 36-56.
    61. 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.
    62. Thierry Magnac, 2013. "Identification partielle : méthodes et conséquences pour les applications empiriques," L'Actualité Economique, Société Canadienne de Science Economique, vol. 89(4), pages 233-258.
    63. Fan, Yanqin & Park, Sang Soo, 2010. "Confidence sets for some partially identified parameters," MPRA Paper 37149, University Library of Munich, Germany.
    64. Ketz, Philipp, 2018. "Subvector inference when the true parameter vector may be near or at the boundary," Journal of Econometrics, Elsevier, vol. 207(2), pages 285-306.
    65. 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.
    66. 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.
    67. Joel L. Horowitz, 2018. "Bootstrap methods in econometrics," CeMMAP working papers CWP53/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    68. 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. 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.
    2. 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.
    3. 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.
    4. 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, IZA Network @ LISER.
    5. 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.
    6. Valentina Corradi & Daniel Gutknecht, 2019. "Testing for Quantile Sample Selection," Papers 1907.07412, arXiv.org, revised Jan 2021.
    7. 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.
    8. Leslie E. Papke & Jeffrey M. Wooldridge, 2023. "A simple, robust test for choosing the level of fixed effects in linear panel data models," Empirical Economics, Springer, vol. 64(6), pages 2683-2701, June.
    9. 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.
    10. Pedro H. C. Sant'Anna & Qi Xu, 2023. "Difference-in-Differences with Compositional Changes," Papers 2304.13925, arXiv.org, revised Nov 2025.
    11. Wooldridge, Jeffrey M., 2019. "Correlated random effects models with unbalanced panels," Journal of Econometrics, Elsevier, vol. 211(1), pages 137-150.
    12. Jean-Bernard Chatelain & Kirsten Ralf, 2021. "Inference on time-invariant variables using panel data: a pretest estimator," PSE Working Papers halshs-01719835, HAL.
    13. Firmin Doko Tchatoka, 2014. "On Bootstrap Validity for Specification Tests with Weak Instruments," School of Economics and Public Policy Working Papers 2014-06, University of Adelaide, School of Economics and Public Policy.
    14. 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.
    15. Hamad Aldawsari & Taufiq Choudhry & Di Luo, 2025. "CEO power and firm risk at the onset of the 2007 financial crisis and the COVID-19 health crisis: international evidence," Review of Quantitative Finance and Accounting, Springer, vol. 64(4), pages 1633-1670, May.
    16. Doko Tchatoka, Firmin & Wang, Wenjie, 2021. "Uniform Inference after Pretesting for Exogeneity with Heteroskedastic Data," MPRA Paper 106408, University Library of Munich, Germany.
    17. Minsu Chang & Francis J. DiTraglia, 2020. "A Generalized Focused Information Criterion for GMM," Papers 2011.07085, arXiv.org.
    18. 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.
    19. Freeman, Hugo & Weidner, Martin, 2023. "Linear panel regressions with two-way unobserved heterogeneity," Journal of Econometrics, Elsevier, vol. 237(1).
    20. 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.
    21. 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.
    22. Doko Tchatoka, Firmin & Wang, Wenjie, 2025. "Identification-Robust Two-Stage Bootstrap Tests with Pretesting for Exogeneity," MPRA Paper 125017, University Library of Munich, Germany.
    23. Doko Tchatoka, Firmin & Wang, Wenjie, 2024. "Weak-Identification-Robust Bootstrap Tests after Pretesting for Exogeneity," MPRA Paper 123060, University Library of Munich, Germany.
    24. McCloskey, Adam, 2017. "Bonferroni-based size-correction for nonstandard testing problems," Journal of Econometrics, Elsevier, vol. 200(1), pages 17-35.
    25. Hutniczak, Barbara, 2015. "Modeling heterogeneous fleet in an ecosystem based management context," Ecological Economics, Elsevier, vol. 120(C), pages 203-214.
    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. Nicholas King & P. Dorian Owen & Rick Audas, 2010. "Playoff Uncertainty, Match Uncertainty and Attendance at Australian National Rugby League Matches," Working Papers 1007, University of Otago, Department of Economics, revised Aug 2010.
    28. Hasan, Iftekhar & Jackowicz, Krzysztof & Kowalewski, Oskar & Kozłowski, Łukasz, 2013. "Market discipline during crisis: Evidence from bank depositors in transition countries," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5436-5451.
    29. Ikeda, Shin S., 2019. "Illiquidity in the Japan electric power exchange," Journal of Commodity Markets, Elsevier, vol. 14(C), pages 16-39.
    30. Li, Haiqi & Chen, Xingyi & Liang, Jufang, 2022. "Shrinkage estimation of panel data models with interactive effects," Economics Letters, Elsevier, vol. 210(C).
    31. Doko Tchatoka, Firmin & Dufour, Jean-Marie, 2025. "Exogeneity tests and weak identification in IV regressions: Asymptotic theory and point estimation," Journal of Econometrics, Elsevier, vol. 248(C).
    32. 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.
    33. Naoya Sueishi, 2022. "A Misuse of Specification Tests," Papers 2211.11915, arXiv.org, revised Sep 2025.
    34. Doko Tchatoka, Firmin & Dufour, Jean-Marie, 2020. "Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions: Invariance and finite-sample distributional theory," Journal of Econometrics, Elsevier, vol. 218(2), pages 390-418.
    35. Nakabayashi, Masaki, 2019. "Ownership structure and market efficiency," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 61(C), pages 189-212.

  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. 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.
    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. 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.
    4. Adam McCloskey, 2012. "Bonferroni-Based Size-Correction for Nonstandard Testing Problems," Working Papers 2012-16, Brown University, Department of Economics.
    5. 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.
    6. 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.
    7. Valentina Corradi & Daniel Gutknecht, 2019. "Testing for Quantile Sample Selection," Papers 1907.07412, arXiv.org, revised Jan 2021.
    8. 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.
    9. 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.
    10. Leslie E. Papke & Jeffrey M. Wooldridge, 2023. "A simple, robust test for choosing the level of fixed effects in linear panel data models," Empirical Economics, Springer, vol. 64(6), pages 2683-2701, June.
    11. 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.
    12. 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).
    13. Woutersen, Tiemen & Hausman, Jerry A., 2019. "Increasing the power of specification tests," Journal of Econometrics, Elsevier, vol. 211(1), pages 166-175.
    14. Pedro H. C. Sant'Anna & Qi Xu, 2023. "Difference-in-Differences with Compositional Changes," Papers 2304.13925, arXiv.org, revised Nov 2025.
    15. Wooldridge, Jeffrey M., 2019. "Correlated random effects models with unbalanced panels," Journal of Econometrics, Elsevier, vol. 211(1), pages 137-150.
    16. 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.
    17. Buhl-Wiggers, Julie & Kerwin, Jason T. & Muñoz-Morales, Juan & Smith, Jeffrey & Thornton, Rebecca, 2024. "Some children left behind: Variation in the effects of an educational intervention," Journal of Econometrics, Elsevier, vol. 243(1).
    18. Kasy Maximilian, 2019. "Uniformity and the Delta Method," Journal of Econometric Methods, De Gruyter, vol. 8(1), pages 1-19, January.
    19. Jean-Bernard Chatelain & Kirsten Ralf, 2021. "Inference on time-invariant variables using panel data: a pretest estimator," PSE Working Papers halshs-01719835, HAL.
    20. Firmin Doko Tchatoka, 2014. "On Bootstrap Validity for Specification Tests with Weak Instruments," School of Economics and Public Policy Working Papers 2014-06, University of Adelaide, School of Economics and Public Policy.
    21. 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.
    22. 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).
    23. Hamad Aldawsari & Taufiq Choudhry & Di Luo, 2025. "CEO power and firm risk at the onset of the 2007 financial crisis and the COVID-19 health crisis: international evidence," Review of Quantitative Finance and Accounting, Springer, vol. 64(4), pages 1633-1670, May.
    24. Doko Tchatoka, Firmin & Wang, Wenjie, 2021. "Uniform Inference after Pretesting for Exogeneity with Heteroskedastic Data," MPRA Paper 106408, University Library of Munich, Germany.
    25. Minsu Chang & Francis J. DiTraglia, 2020. "A Generalized Focused Information Criterion for GMM," Papers 2011.07085, arXiv.org.
    26. 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.
    27. Hassler, Uwe, 2010. "Testing regression coefficients after model selection through sign restrictions," Economics Letters, Elsevier, vol. 107(2), pages 220-223, May.
    28. 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.
    29. Freeman, Hugo & Weidner, Martin, 2023. "Linear panel regressions with two-way unobserved heterogeneity," Journal of Econometrics, Elsevier, vol. 237(1).
    30. 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.
    31. 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.
    32. 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.
    33. Doko Tchatoka, Firmin & Wang, Wenjie, 2025. "Identification-Robust Two-Stage Bootstrap Tests with Pretesting for Exogeneity," MPRA Paper 125017, University Library of Munich, Germany.
    34. Doko Tchatoka, Firmin & Wang, Wenjie, 2024. "Weak-Identification-Robust Bootstrap Tests after Pretesting for Exogeneity," MPRA Paper 123060, University Library of Munich, Germany.
    35. Hutniczak, Barbara, 2015. "Modeling heterogeneous fleet in an ecosystem based management context," Ecological Economics, Elsevier, vol. 120(C), pages 203-214.
    36. Kiviet, Jan F. & Pleus, Milan, 2017. "The performance of tests on endogeneity of subsets of explanatory variables scanned by simulation," Econometrics and Statistics, Elsevier, vol. 2(C), pages 1-21.
    37. Moh’d Al-Azzam & Christopher Parmeter, 2021. "Competition and microcredit interest rates: international evidence," Empirical Economics, Springer, vol. 60(2), pages 829-868, February.
    38. Simon Freyaldenhoven & Christian Hansen & Jesse M. Shapiro, 2018. "Pre-event Trends in the Panel Event-study Design," NBER Working Papers 24565, National Bureau of Economic Research, Inc.
    39. Nicholas King & P. Dorian Owen & Rick Audas, 2010. "Playoff Uncertainty, Match Uncertainty and Attendance at Australian National Rugby League Matches," Working Papers 1007, University of Otago, Department of Economics, revised Aug 2010.
    40. 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.
    41. Hasan, Iftekhar & Jackowicz, Krzysztof & Kowalewski, Oskar & Kozłowski, Łukasz, 2013. "Market discipline during crisis: Evidence from bank depositors in transition countries," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5436-5451.
    42. Ikeda, Shin S., 2019. "Illiquidity in the Japan electric power exchange," Journal of Commodity Markets, Elsevier, vol. 14(C), pages 16-39.
    43. 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.
    44. Li, Haiqi & Chen, Xingyi & Liang, Jufang, 2022. "Shrinkage estimation of panel data models with interactive effects," Economics Letters, Elsevier, vol. 210(C).
    45. Doko Tchatoka, Firmin & Dufour, Jean-Marie, 2025. "Exogeneity tests and weak identification in IV regressions: Asymptotic theory and point estimation," Journal of Econometrics, Elsevier, vol. 248(C).
    46. 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.
    47. 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.
    48. Naoya Sueishi, 2022. "A Misuse of Specification Tests," Papers 2211.11915, arXiv.org, revised Sep 2025.
    49. Doko Tchatoka, Firmin & Dufour, Jean-Marie, 2020. "Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions: Invariance and finite-sample distributional theory," Journal of Econometrics, Elsevier, vol. 218(2), pages 390-418.
    50. Nakabayashi, Masaki, 2019. "Ownership structure and market efficiency," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 61(C), pages 189-212.

  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 & Anna Mikusheva, 2016. "Conditional Inference With a Functional Nuisance Parameter," Econometrica, Econometric Society, vol. 84, pages 1571-1612, July.
    3. Karthik Muralidharan & Mauricio Romero & Kaspar Wüthrich, 2020. "Factorial Designs, Model Selection, and (Incorrect) Inference in Randomized Experiments," CESifo Working Paper Series 8137, CESifo.
    4. 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.
    5. 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.
    6. Adam McCloskey, 2012. "Bonferroni-Based Size-Correction for Nonstandard Testing Problems," Working Papers 2012-16, Brown University, Department of Economics.
    7. Pötscher, Benedikt M. & Preinerstorfer, David, 2016. "Controlling the Size of Autocorrelation Robust Tests," MPRA Paper 75657, University Library of Munich, Germany.
    8. Leeb, Hannes & Pötscher, Benedikt M. & Ewald, Karl, 2014. "On various confidence intervals post-model-selection," MPRA Paper 58326, University Library of Munich, Germany, revised 2014.
    9. 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.
    10. 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.
    11. Elliott, Graham & Müller, Ulrich K, 2014. "Pre and post break parameter inference," University of California at San Diego, Economics Working Paper Series qt4j733246, Department of Economics, UC San Diego.
    12. 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.
    13. Qing Liu & Chiyu Xia & Xiaohui Liu, 2025. "Limit theory for an AR(1) model with intercept and a possible infinite variance," Indian Journal of Pure and Applied Mathematics, Springer, vol. 56(2), pages 615-630, June.
    14. Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani, 2016. "Predictability Hidden by Anomalous Observations," Papers 1612.05072, arXiv.org.
    15. 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.
    16. Timothy B. Armstrong & Michal Kolesár, 2020. "Sensitivity Analysis using Approximate Moment Condition Models," Working Papers 2020-28, Princeton University. Economics Department..
    17. 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.
    18. 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.
    19. 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.
    20. 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.
    21. 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 1665R, Cowles Foundation for Research in Economics, Yale University, revised Mar 2010.
    22. 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.
    23. 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. Philipp Ketz & Adam McCloskey, 2021. "Short and Simple Confidence Intervals when the Directions of Some Effects are Known," Papers 2109.08222, arXiv.org.
    25. Gregory Fletcher Cox, 2024. "A Simple and Adaptive Confidence Interval when Nuisance Parameters Satisfy an Inequality," Papers 2409.09962, arXiv.org.
    26. Doko Tchatoka, Firmin & Wang, Wenjie, 2021. "Uniform Inference after Pretesting for Exogeneity with Heteroskedastic Data," MPRA Paper 106408, University Library of Munich, Germany.
    27. 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.
    28. Kleibergen, Frank, 2021. "Efficient size correct subset inference in homoskedastic linear instrumental variables regression," Journal of Econometrics, Elsevier, vol. 221(1), pages 78-96.
    29. 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.
    30. Doko Tchatoka, Firmin & Wang, Wenjie, 2025. "Identification-Robust Two-Stage Bootstrap Tests with Pretesting for Exogeneity," MPRA Paper 125017, University Library of Munich, Germany.
    31. Doko Tchatoka, Firmin & Wang, Wenjie, 2024. "Weak-Identification-Robust Bootstrap Tests after Pretesting for Exogeneity," MPRA Paper 123060, University Library of Munich, Germany.
    32. 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.
    33. Thomas Demuynck, 2018. "Testing the homogeneous marginal utility of income assumption," ULB Institutional Repository 2013/251991, ULB -- Universite Libre de Bruxelles.
    34. Camponovo, Lorenzo & Scaillet, Olivier & Trojani, Fabio, 2012. "Robust subsampling," Journal of Econometrics, Elsevier, vol. 167(1), pages 197-210.
    35. Joel L. Horowitz, 2018. "Bootstrap Methods in Econometrics," Papers 1809.04016, arXiv.org.
    36. Liu, Guannan & Yao, Shuang, 2020. "A robust test for predictability with unknown persistence," Economics Letters, Elsevier, vol. 189(C).
    37. 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.
    38. Mikihito Nishi, 2023. "Testing for Stationary or Persistent Coefficient Randomness in Predictive Regressions," Papers 2309.04926, arXiv.org, revised May 2024.
    39. Chen, Qihui & Fang, Zheng, 2019. "Inference on functionals under first order degeneracy," Journal of Econometrics, Elsevier, vol. 210(2), pages 459-481.
    40. Joshua Angrist & Miikka Rokkanen, 2012. "Wanna Get Away? RD Identification Away from the Cutoff," NBER Working Papers 18662, National Bureau of Economic Research, Inc.
    41. 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.
    42. Isaiah Andrews & Jonathan Roth & Ariel Pakes, 2019. "Inference for Linear Conditional Moment Inequalities," NBER Working Papers 26374, National Bureau of Economic Research, Inc.
    43. Cheng, Xu, 2015. "Robust inference in nonlinear models with mixed identification strength," Journal of Econometrics, Elsevier, vol. 189(1), pages 207-228.
    44. 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.
    45. Laurens Cherchye & Bram De Rock & Thomas Demuynck, 2017. "Bounding Counterfactual Demand with Unobserved Heterogeneity and Endogenous Expenditures," Working Papers ECARES ECARES 2017-41, ULB -- Universite Libre de Bruxelles.
    46. 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.
    47. Joel L. Horowitz, 2018. "Bootstrap methods in econometrics," CeMMAP working papers CWP53/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    48. 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.

  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. "Size-corrected Bootstrap Test after Pretesting for Exogeneity with Heteroskedastic or Clustered Data," MPRA Paper 110899, University Library of Munich, Germany.
    2. Adam McCloskey, 2012. "Bonferroni-Based Size-Correction for Nonstandard Testing Problems," Working Papers 2012-16, Brown University, Department of Economics.
    3. Sukjin Han & Adam McCloskey, 2024. "Inference for Interval-Identified Parameters Selected from an Estimated Set," Papers 2403.00422, arXiv.org, revised Apr 2025.
    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. Max H. Farrell, 2013. "Robust Inference on Average Treatment Effects with Possibly More Covariates than Observations," Papers 1309.4686, arXiv.org, revised Feb 2018.
    6. Krasnokutskaya, Elena & Song, Kyungchul & Tang, Xun, 2022. "Estimating unobserved individual heterogeneity using pairwise comparisons," Journal of Econometrics, Elsevier, vol. 226(2), pages 477-497.
    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. 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. Doko Tchatoka, Firmin & Wang, Wenjie, 2025. "Identification-Robust Two-Stage Bootstrap Tests with Pretesting for Exogeneity," MPRA Paper 125017, University Library of Munich, Germany.
    10. Doko Tchatoka, Firmin & Wang, Wenjie, 2024. "Weak-Identification-Robust Bootstrap Tests after Pretesting for Exogeneity," MPRA Paper 123060, University Library of Munich, Germany.
    11. 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.
    12. 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.
    13. Camponovo, Lorenzo & Scaillet, Olivier & Trojani, Fabio, 2012. "Robust subsampling," Journal of Econometrics, Elsevier, vol. 167(1), pages 197-210.
    14. 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.
    15. Doko Tchatoka, Firmin & Dufour, Jean-Marie, 2025. "Exogeneity tests and weak identification in IV regressions: Asymptotic theory and point estimation," Journal of Econometrics, Elsevier, vol. 248(C).
    16. 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.

  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. Arvanitis, Stelios & Scaillet, Olivier & Topaloglou, Nikolas, 2020. "Spanning tests for Markowitz stochastic dominance," Journal of Econometrics, Elsevier, vol. 217(2), pages 291-311.
    2. Donald W.K. Andrews & Xiaoxia Shi, 2010. "Inference Based on Conditional Moment Inequalities," Cowles Foundation Discussion Papers 1761, Cowles Foundation for Research in Economics, Yale University.
    3. Yuichi Kitamura & Jorg Stoye, 2016. "Nonparametric analysis of random utility models," CeMMAP working papers CWP27/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    4. Le-Yu Chen & Jerzy Szroeter, 2009. "Hypothesis testing of multiple inequalities: the method of constraint chaining," CeMMAP working papers CWP13/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    5. 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.
    6. Kaido, Hiroaki, 2016. "A dual approach to inference for partially identified econometric models," Journal of Econometrics, Elsevier, vol. 192(1), pages 269-290.
    7. 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.
    8. 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.
    9. David M. Kaplan, 2015. "Bayesian and frequentist tests of sign equality and other nonlinear inequalities," Working Papers 1516, Department of Economics, University of Missouri.
    10. Rosen, Adam M., 2008. "Confidence sets for partially identified parameters that satisfy a finite number of moment inequalities," Journal of Econometrics, Elsevier, vol. 146(1), pages 107-117, September.
    11. Marcoux, Mathieu & Russell, Thomas M. & Wan, Yuanyuan, 2024. "A simple specification test for models with many conditional moment inequalities," Journal of Econometrics, Elsevier, vol. 242(1).
    12. Stefan Boes, 2009. "Bounds on Counterfactual Distributions Under Semi-Monotonicity Constraints," SOI - Working Papers 0920, Socioeconomic Institute - University of Zurich.
    13. 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.
    14. Bugni, Federico A. & Canay, Ivan A. & Shi, Xiaoxia, 2015. "Specification tests for partially identified models defined by moment inequalities," Journal of Econometrics, Elsevier, vol. 185(1), pages 259-282.
    15. Francesca Molinari, 2019. "Econometrics with Partial Identification," CeMMAP working papers CWP25/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    16. Huber, Martin & Mellace, Giovanni, 2011. "Testing instrument validity for LATE identification based on inequality moment constraints," Economics Working Paper Series 1143, University of St. Gallen, School of Economics and Political Science.
    17. 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.

  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. 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.
    2. 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.
    3. Sophocles Mavroeidis & Mikkel Plagborg-M?ller & James H. Stock, 2014. "Empirical Evidence on Inflation Expectations in the New Keynesian Phillips Curve," Journal of Economic Literature, American Economic Association, vol. 52(1), pages 124-188, March.
    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. 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.
    6. 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.
    7. 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.
    8. 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.
    9. 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.
    10. Gregory Cox, 2022. "Weak Identification in Low-Dimensional Factor Models with One or Two Factors," Papers 2211.00329, arXiv.org, revised Mar 2024.
    11. 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.
    12. Li, Minqiang & Peng, Liang & Qi, Yongcheng, 2011. "Reduce computation in profile empirical likelihood method," MPRA Paper 33744, University Library of Munich, Germany.
    13. La Vecchia, Davide & Moor, Alban & Scaillet, Olivier, 2023. "A higher-order correct fast moving-average bootstrap for dependent data," Journal of Econometrics, Elsevier, vol. 235(1), pages 65-81.
    14. James M. Nason & Gregor W. Smith, 2008. "Identifying the new Keynesian Phillips curve," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(5), pages 525-551.
    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. Vasco J. Gabriel & Luis F. Martins, 2010. "The Cost Channel Reconsidered: A Comment Using an Identification‐Robust Approach," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(8), pages 1703-1712, December.
    18. 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.

  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. Rockey, James, 2012. "Reconsidering the fiscal effects of constitutions," European Journal of Political Economy, Elsevier, vol. 28(3), pages 313-323.
    3. Carrasco, Marine & Tchuente, Guy, 2015. "Regularized LIML for many instruments," Journal of Econometrics, Elsevier, vol. 186(2), pages 427-442.
    4. 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.
    5. 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.
    6. 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.
    7. Wang, Xuexin, 2016. "A New Class of Tests for Overidentifying Restrictions in Moment Condition Models," MPRA Paper 69004, University Library of Munich, Germany.
    8. Lucas Girard & Yannick Guyonvarch, 2024. "Bridging Methodologies: Angrist and Imbens' Contributions to Causal Identification," Papers 2402.13023, arXiv.org.
    9. 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.
    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. Bertille Antoine & Prosper Dovonon, 2018. "Robust Estimation with Exponentially Tilted Hellinger Distance," CIRANO Working Papers 2018s-38, CIRANO.
    12. Pierre Chaussé, 2011. "Generalized empirical likelihood for a continuum of moment conditions," Working Papers 1104, University of Waterloo, Department of Economics, revised Oct 2011.
    13. 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.
    14. 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).
    15. 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.
    16. Daniel Wilhelm, 2014. "Optimal bandwidth selection for robust generalized method of moments estimation," CeMMAP working papers 15/14, Institute for Fiscal Studies.
    17. Crudu, Federico & Sándor, Zsolt, 2011. "On the finite-sample properties of conditional empirical likelihood estimators," MPRA Paper 34116, University Library of Munich, Germany.
    18. Dovonon, Prosper, 2008. "Large sample properties of the three-step euclidean likelihood estimators under model misspecification," MPRA Paper 40025, University Library of Munich, Germany, revised 16 May 2010.
    19. Jose Blanchet & Yang Kang, 2021. "Sample Out-of-Sample Inference Based on Wasserstein Distance," Operations Research, INFORMS, vol. 69(3), pages 985-1013, May.
    20. Seojeong Lee, 2018. "Asymptotic Refinements of a Misspecification-Robust Bootstrap for Generalized Empirical Likelihood Estimators," Papers 1806.00953, arXiv.org, revised Jun 2018.
    21. 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.
    22. Rachida Ouysse, 2011. "Computationally efficient approximation for the double bootstrap mean bias correction," Economics Bulletin, AccessEcon, vol. 31(3), pages 2388-2403.
    23. 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.

  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. 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.
    3. Song, Yichun, 2025. "A Frisch-Waugh-Lovell theorem for empirical likelihood," Computational Statistics & Data Analysis, Elsevier, vol. 211(C).
    4. 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.
    5. Paul J. Devereux & Daniel A. Ackerberg, 2008. "Improved Jive estimators for overidentified linear models with and without heteroskedasticity," Working Papers 200817, School of Economics, University College Dublin.
    6. Pierre Chaussé, 2011. "Generalized empirical likelihood for a continuum of moment conditions," Working Papers 1104, University of Waterloo, Department of Economics, revised Oct 2011.
    7. 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.
    8. 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.
    9. 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.
    10. Seojeong Lee, 2018. "Asymptotic Refinements of a Misspecification-Robust Bootstrap for Generalized Empirical Likelihood Estimators," Papers 1806.00953, arXiv.org, revised Jun 2018.
    11. 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.
    12. Stefan Boes, 2007. "Count Data Models with Unobserved Heterogeneity: An Empirical Likelihood Approach," SOI - Working Papers 0704, Socioeconomic Institute - University of Zurich.
    13. 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. 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. Tetsuya Kaji, 2019. "Theory of Weak Identification in Semiparametric Models," Papers 1908.10478, arXiv.org, revised Aug 2020.
    3. Chaudhuri, Saraswata & Zivot, Eric, 2011. "A new method of projection-based inference in GMM with weakly identified nuisance parameters," Journal of Econometrics, Elsevier, vol. 164(2), pages 239-251, October.
    4. 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.
    5. Mehmet Caner, 2005. "Exponential Tilting with Weak Instruments: Estimation and Testing," Econometrics 0509017, University Library of Munich, Germany.
    6. Bravo, Francesco, 2009. "Two-step generalised empirical likelihood inference for semiparametric models," Journal of Multivariate Analysis, Elsevier, vol. 100(7), pages 1412-1431, August.
    7. Moreira, Humberto & Moreira, Marcelo J., 2019. "Optimal two-sided tests for instrumental variables regression with heteroskedastic and autocorrelated errors," Journal of Econometrics, Elsevier, vol. 213(2), pages 398-433.
    8. Yuichi Kitamura, 2006. "Empirical Likelihood Methods in Econometrics: Theory and Practice," CIRJE F-Series CIRJE-F-430, CIRJE, Faculty of Economics, University of Tokyo.
    9. 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.
    10. 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.
    11. Aviv Nevo & Adam Rosen, 2008. "Identification with imperfect instruments," CeMMAP working papers CWP16/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    12. Hlouskova, Jaroslava & Sögner, Leopold, 2015. "GMM Estimation of Affine Term Structure Models," Economics Series 315, Institute for Advanced Studies.
    13. 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.
    14. Xu, Ke-Li, 2020. "Inference of local regression in the presence of nuisance parameters," Journal of Econometrics, Elsevier, vol. 218(2), pages 532-560.
    15. 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.
    16. Antoine, Bertille & Renault, Eric, 2020. "Testing identification strength," Journal of Econometrics, Elsevier, vol. 218(2), pages 271-293.
    17. 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.
    18. 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.
    19. 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.
    20. 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.
    21. Paul J. Devereux & Gautam Tripathi, 2008. "Optimally combining censored and uncensored datasets," Working Papers 200820, School of Economics, University College Dublin.
    22. 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.
    23. 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.
    24. Rami V. Tabri & Christopher D. Walker, 2020. "Inference for Moment Inequalities: A Constrained Moment Selection Procedure," Papers 2008.09021, arXiv.org, revised Aug 2020.
    25. 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.
    26. Vitaliy Oryshchenko & Richard J. Smith, 2013. "Generalised empirical likelihood-based kernel density estimation," Economics Papers 2013-W03, Economics Group, Nuffield College, University of Oxford.
    27. Inoue, Atsushi & Rossi, Barbara, 2011. "Testing for weak identification in possibly nonlinear models," Journal of Econometrics, Elsevier, vol. 161(2), pages 246-261, April.
    28. Rosen, Adam M., 2008. "Confidence sets for partially identified parameters that satisfy a finite number of moment inequalities," Journal of Econometrics, Elsevier, vol. 146(1), pages 107-117, September.
    29. Paulo Parente & Richard Smith, 2012. "Exogeneity in semiparametric moment condition models," CeMMAP working papers CWP30/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    30. Paulo Parente & Richard Smith, 2008. "GEL methods for non-smooth moment indicators," CeMMAP working papers CWP19/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    31. Giuseppe Ragusa, 2008. "Minimum Divergence, Generalized Empirical Likelihoods, and Higher Order Expansions," Working Papers 080906, University of California-Irvine, Department of Economics.
    32. Gregory Fletcher Cox, 2020. "Weak Identification with Bounds in a Class of Minimum Distance Models," Papers 2012.11222, arXiv.org, revised Oct 2025.
    33. 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.
    34. 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.
    35. 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.
    36. 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.
    37. 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.
    38. Andrei Zeleneev & Kirill Evdokimov, 2023. "Simple estimation of semiparametric models with measurement errors," CeMMAP working papers 10/23, Institute for Fiscal Studies.
    39. Kirill S. Evdokimov & Andrei Zeleneev, 2023. "Simple Estimation of Semiparametric Models with Measurement Errors," Papers 2306.14311, arXiv.org, revised Nov 2025.
    40. Stefan Boes, 2004. "Empirical Likelihood in Count Data Models: The Case of Endogenous Regressors," SOI - Working Papers 0404, Socioeconomic Institute - University of Zurich.
    41. Mehmet Caner, 2005. "Exponential Tilting With Weak Instruments," Working Paper 208, Department of Economics, University of Pittsburgh, revised Jan 2005.
    42. Patrik Guggenberger & Frank Kleibergen & Sophocles Mavroeidis, 2021. "A Powerful Subvector Anderson Rubin Test in Linear Instrumental Variables Regression with Conditional Heteroskedasticity," Papers 2103.11371, arXiv.org, revised Oct 2022.
    43. 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.
    44. Marine Carrasco & Guy Tchuente, 2015. "Efficient estimation with many weak instruments using regularization techniques," Studies in Economics 1517, School of Economics, University of Kent.
    45. Kirill Evdokimov & Andrei Zeleneev, 2025. "Simple estimation of semiparametric models with measurement errors," CeMMAP working papers 02/25, Institute for Fiscal Studies.
    46. 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.
    47. 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.
    48. 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.
    49. Berkowitz, Daniel & Caner, Mehmet & Fang, Ying, 2012. "The validity of instruments revisited," Journal of Econometrics, Elsevier, vol. 166(2), pages 255-266.
    50. Gregory Cox, 2022. "Weak Identification in Low-Dimensional Factor Models with One or Two Factors," Papers 2211.00329, arXiv.org, revised Mar 2024.
    51. Donald W.K. Andrews & James H. Stock, 2005. "Inference with Weak Instruments," Cowles Foundation Discussion Papers 1530, Cowles Foundation for Research in Economics, Yale University.
    52. 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.
    53. Caner, Mehmet, 2008. "Nearly-singular design in GMM and generalized empirical likelihood estimators," Journal of Econometrics, Elsevier, vol. 144(2), pages 511-523, June.
    54. Kirill Evdokimov & Andrei Zeleneev, 2024. "Simple estimation of semiparametric models with measurement errors," CeMMAP working papers 05/24, Institute for Fiscal Studies.
    55. 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.
    56. Isaiah Andrews & Anna Mikusheva, 2022. "GMM is Inadmissible Under Weak Identification," Papers 2204.12462, arXiv.org, revised May 2023.
    57. 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.
    58. 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.
    59. Joel L. Horowitz, 2017. "Non-asymptotic inference in instrumental variables estimation," CeMMAP working papers 46/17, Institute for Fiscal Studies.
    60. Cheng, Xu, 2015. "Robust inference in nonlinear models with mixed identification strength," Journal of Econometrics, Elsevier, vol. 189(1), pages 207-228.
    61. Joel L. Horowitz, 2018. "Non-Asymptotic Inference in Instrumental Variables Estimation," Papers 1809.03600, arXiv.org.
    62. 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.
    63. 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.
    64. 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.
    65. Chaudhuri, Saraswata & Renault, Eric, 2020. "Score tests in GMM: Why use implied probabilities?," Journal of Econometrics, Elsevier, vol. 219(2), pages 260-280.
    66. 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.
    67. Marcelo J. Moreira & Jack R. Porter & Gustavo A. Suarez, 2004. "Bootstrap and Higher-Order Expansion Validity When Instruments May Be Weak," NBER Technical Working Papers 0302, National Bureau of Economic Research, Inc.
    68. Isaiah Andrews & Anna Mikusheva, 2022. "Optimal Decision Rules for Weak GMM," Econometrica, Econometric Society, vol. 90(2), pages 715-748, March.

  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. Tetsuya Kaji, 2019. "Theory of Weak Identification in Semiparametric Models," Papers 1908.10478, arXiv.org, revised Aug 2020.
    2. 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.
    3. 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.
    4. Frank Windmeijer, 2006. "GMM for panel count data models," Bristol Economics Discussion Papers 06/591, School of Economics, University of Bristol, UK.
    5. 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.
    6. 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.
    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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