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Details about Donald W. K. Andrews

E-mail:
Homepage:http://cowles.econ.yale.edu/faculty/andrews.htm
Workplace:Economics Department, Yale University, (more information at EDIRC)
Cowles Foundation for Research in Economics, Yale University, (more information at EDIRC)

Access statistics for papers by Donald W. K. Andrews.

Last updated 2016-12-03. Update your information in the RePEc Author Service.

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Working Papers

2016

  1. Inference Based on Many Conditional Moment Inequalities
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2015) Downloads

2015

  1. Identification- and Singularity-Robust Inference for Moment Condition
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads

2014

  1. Asymptotic Size of Kleibergen's LM and Conditional LR Tests for Moment Condition Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)

2013

  1. GMM Estimation and Uniform Subvector Inference with Possible Identification Failure
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2011) Downloads View citations (4)

    See also Journal Article in Econometric Theory (2014)
  2. Nonparametric Inference Based on Conditional Moment Inequalities
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (21)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2011) Downloads View citations (3)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2013) Downloads View citations (45)

    See also Journal Article in Journal of Econometrics (2014)

2012

  1. A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2011) Downloads

    See also Journal Article in The Review of Economics and Statistics (2014)
  2. Asymptotics for LS, GLS, and Feasible GLS Statistics in an AR(1) Model with Conditional Heteroskedaticity
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2008) Downloads
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2010) Downloads

    See also Journal Article in Journal of Econometrics (2012)
  3. Inference Based on Conditional Moment Inequalities
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2011) Downloads
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2010) Downloads View citations (4)

    See also Journal Article in Econometrica (2013)
  4. Maximum Likelihood Estimation and Uniform Inference with Sporadic Identification Failure
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2011) Downloads View citations (5)

    See also Journal Article in Journal of Econometrics (2013)
  5. Similar-on-the-Boundary Tests for Moment Inequalities Exist, But Have Poor Power
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2011) Downloads View citations (2)

2011

  1. Estimation and Inference with Weak, Semi-strong, and Strong Identification
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2010) Downloads View citations (11)

    See also Journal Article in Econometrica (2012)
  2. Examples of L^2-Complete and Boundedly-Complete Distributions
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (10)
  3. Generic Results for Establishing the Asymptotic Size of Confidence Sets and Tests
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (21)
  4. Inference for Parameters Defined by Moment Inequalities: A Recommended Moment Selection Procedure
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2008) Downloads View citations (17)

    See also Journal Article in Econometrica (2012)

2008

  1. Invalidity of the Bootstrap and the m Out of n Bootstrap for Interval Endpoints Defined by Moment Inequalities
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads

2007

  1. Applications of Subsampling, Hybrid, and Size-Correction Methods
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article in Journal of Econometrics (2010)
  2. Asymptotics for Stationary Very Nearly Unit Root Processes
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (3)
    See also Journal Article in Journal of Time Series Analysis (2008)
  3. Hybrid and Size-Corrected Subsample Methods
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
  4. Inference for Parameters Defined by Moment Inequalities Using Generalized Moment Selection
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (17)
    See also Journal Article in Econometrica (2010)
  5. The Limit of Finite-Sample Size and a Problem with Subsampling
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (5)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2007) Downloads View citations (4)
  6. Validity of Subsampling and "Plug-in Asymptotic" Inference for Parameters Defined by Moment Inequalities
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (8)
    See also Journal Article in Econometric Theory (2009)

2006

  1. Rank Tests for Instrumental Variables Regression with Weak Instruments
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
    See also Journal Article in Econometric Theory (2007)

2005

  1. Exactly Distribution-free Inference in Instrumental Variables Regression with Possibly Weak Instruments
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (12)
    See also Journal Article in Journal of Econometrics (2008)
  2. Inference with Weak Instruments
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (48)
    Also in NBER Technical Working Papers, National Bureau of Economic Research, Inc (2005) Downloads View citations (43)

2004

  1. Cross-section Regression with Common Shocks
    Yale School of Management Working Papers, Yale School of Management Downloads
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2003) Downloads View citations (9)

    See also Journal Article in Econometrica (2005)
  2. End-of-Sample Cointegration Breakdown Tests
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (1)
    Also in Econometric Society 2004 Far Eastern Meetings, Econometric Society (2004)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2003) Downloads View citations (5)
  3. Optimal Invariant Similar Tests for Instrumental Variables Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (13)
    Also in NBER Technical Working Papers, National Bureau of Economic Research, Inc (2004) Downloads View citations (13)

2002

  1. Adaptive Local Polynomial Whittle Estimation of Long-Range Dependence
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads View citations (2)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2002) Downloads View citations (3)

    See also Journal Article in Econometrica (2004)
  2. End-of-Sample Instability Tests
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
    See also Journal Article in Econometrica (2003)
  3. Higher-order Improvements of the Parametric Bootstrap for Long-memory Gaussian Processes
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (3)
    See also Journal Article in Journal of Econometrics (2006)
  4. The Block-block Bootstrap: Improved Asymptotic Refinements
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (6)
    See also Journal Article in Econometrica (2004)
  5. Valid Edgeworth Expansions for the Whittle Maximum Likelihood Estimator for Stationary Long-memory Gaussian Time Series
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article in Econometric Theory (2005)

2001

  1. Higher-Order Improvements of a Computationally Attractive-Step Bootstrap for Extremum Estimators
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (1999) Downloads

    See also Journal Article in Econometrica (2002)
  2. Higher-order Improvements of the Parametric Bootstrap for Markov Processes
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (3)
  3. Local Polynomial Whittle Estimation of Long-range Dependence
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (11)

2000

  1. A Bias-Reduced Log-Periodogram Regression Estimator for the Long-Memory Parameter
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (3)
    See also Journal Article in Econometrica (2003)
  2. Equivalence of the Higher-order Asymptotic Efficiency of k-step and Extremum Statistics
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
    See also Journal Article in Econometric Theory (2002)
  3. On the Number of Bootstrap Repetitions for BC_a Confidence Intervals
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article in Econometric Theory (2002)

1999

  1. Consistent Model and Moment Selection Criteria for GMM Estimation with Applications to Dynamic Panel Data Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (3)
  2. Testing When a Parameter Is on the Boundary of the Maintained Hypothesis
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
    See also Journal Article in Econometrica (2001)

1997

  1. A Simple Counterexample to the Bootstrap
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
  2. Consistent Moment Selection Procedures for Generalized Method of Moments Estimation
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article in Econometrica (1999)
  3. Estimation When a Parameter Is on a Boundary: Theory and Applications
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
  4. On the Number of Bootstrap Repetitions for Bootstrap Standard Errors, Confidence Intervals, and Tests
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)

1996

  1. A Conditional Kolmogorov Test
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
    See also Journal Article in Econometrica (1997)
  2. A Stopping Rule for the Computation of Generalized Method of Moments Estimators
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article in Econometrica (1997)
  3. Semiparametric Estimation of a Sample Selection Model
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
  4. Tests of Seasonal and Non-Seasonal Serial Correlation
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads

1994

  1. Hypothesis Testing with a Restricted Parameter Space
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
    See also Journal Article in Journal of Econometrics (1998)
  2. Testing for Serial Correlation Against an ARMA(1,1) Process
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (6)

1993

  1. Admissibility of the Likelihood Ratio Test When a Nuisance Parameter Is Present OnlyUnder the Alternative
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (7)
  2. Empirical Process Methods in Econometrics
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (3)
    See also Chapter (1986)
  3. Nonlinear Econometric Models with Deterministically Trending Variables
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
    See also Journal Article in Review of Economic Studies (1995)

1992

  1. An Introduction to Econometric Applications of Functional Limit Theory for Dependent Random Variables
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (4)
  2. Approximately Median-Unbiased Estimation of Autoregressive Models with Applications to U.S. Macroeconomic and Financial Time Series
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
  3. Optimal Changepoint Tests for Normal Linear Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (7)
    See also Journal Article in Journal of Econometrics (1996)
  4. Optimal Tests When a Nuisance Parameter Is Present Only Under the Alternative
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (44)
    See also Journal Article in Econometrica (1994)
  5. The Large Sample Correspondence Between Classical Hypothesis Tests and Bayesian Posterior Odds Tests
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article in Econometrica (1994)

1991

  1. Exactly Unbiased Estimation of First Order Autoregressive-Unit Root Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (5)
  2. Tests of Specification for Parametric and Semiparametric Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
    See also Journal Article in Journal of Econometrics (1993)

1990

  1. A Functional Central Limit Theorem for Strong Mixing Stochastic Processes
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  2. An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (24)
    See also Journal Article in Econometrica (1992)
  3. Asymptotics for Semiparametric Econometric Models: I. Estimation
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (5)
  4. Asymptotics for Semiparametric Econometric Models: II. Stochastic Equicontinuity and Nonparametric Kernel Estimation
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (6)
  5. Further Evidence on the Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (61)
    See also Journal Article in Journal of Business & Economic Statistics (2002)
  6. Generic Uniform Convergence
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (14)
    See also Journal Article in Econometric Theory (1992)
  7. Tests for Parameter Instability and Structural Change with Unknown Change Point
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (7)
    See also Journal Article in Econometrica (1993)

1989

  1. Additive Interactive Regression Models: Circumvention of the Curse of Dimensionality
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (4)
    See also Journal Article in Econometric Theory (1990)
  2. An Empirical Process Central Limit Theorem for Dependent Non-Identically Distributed Random Variables
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (4)
    See also Journal Article in Journal of Multivariate Analysis (1991)
  3. Asymptotic Normality of Series Estimators for Nonparametric and Semiparametric Regression Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
    See also Journal Article in Econometrica (1991)
  4. Asymptotic Optimality of Generalized C_{L}, Cross-Validation, and Generalized Cross-Validation in Regression with Heteroskedastic Errors
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  5. Asymptotics for Semiparametric Econometric Models: III. Testing and Examples
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (4)
  6. Estimation of Polynomial Distributed Lags and Leads with End Point Constraints
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    See also Journal Article in Journal of Econometrics (1992)
  7. Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (3)
    See also Journal Article in Econometrica (1991)

1987

  1. Inference in Econometric Models with Structural Change
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (4)
    Also in Working Papers, California Institute of Technology, Division of the Humanities and Social Sciences (1987) Downloads View citations (2)
  2. Laws of Large Numbers for Dependent Non-Identically Distributed Random Variables
    Working Papers, California Institute of Technology, Division of the Humanities and Social Sciences Downloads
    See also Journal Article in Econometric Theory (1988)

1986

  1. Asymptotic Results for Generalized Wald Tests
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (6)
    See also Journal Article in Econometric Theory (1987)
  2. Best Median Unbiased Estimation in Linear Regression with Bounded Asymmetric Loss Functions
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (3)
  3. Consistency in Nonlinear Econometric Models: A Generic Uniform Law of Large Numbers
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (11)
  4. On the Performance of Least Squares in Linear Regression with Undefined Error Means
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
  5. Power in Econometric Applications
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
    See also Journal Article in Econometrica (1989)
  6. Random Cell Chi-Square Diagnostic Tests for Econometric Models: II. Theory
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)

1985

  1. A Note on the Unbiasedness of Feasible GLS, Quasi-Maximum Likelihood, Robust Adaptive, and Spectral Estimators of the Linear Model
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article in Econometrica (1986)
  2. Random Cell Chi-Square Diagnostic Tests for Econometric Models: I. Introduction and Applications
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
  3. Stability Comparisons of Estimators (5/1985 and 11/1985)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads

1984

  1. A Zero-One Result for the Least Squares Estimator
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article in Econometric Theory (1985)
  2. Robust Estimation of Location in a Gaussian Parametric Model: II
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads

1983

  1. First Order Autoregressive Processes and Strong Mixing
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads

1982

  1. Robust and Asymptotically Efficient Estimation of Location in a Stationary Strong Mixing Gaussian Parametric Model
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads

Journal Articles

2017

  1. Commands for testing conditional moment inequalities and equalities
    Stata Journal, 2017, 17, (1), 56-72 Downloads

2014

  1. A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter
    The Review of Economics and Statistics, 2014, 96, (2), 376-381 Downloads View citations (3)
    See also Working Paper (2012)
  2. GMM ESTIMATION AND UNIFORM SUBVECTOR INFERENCE WITH POSSIBLE IDENTIFICATION FAILURE
    Econometric Theory, 2014, 30, (02), 287-333 Downloads View citations (3)
    See also Working Paper (2013)
  3. Nonparametric inference based on conditional moment inequalities
    Journal of Econometrics, 2014, 179, (1), 31-45 Downloads View citations (7)
    See also Working Paper (2013)

2013

  1. Inference Based on Conditional Moment Inequalities
    Econometrica, 2013, 81, (2), 609-666 Downloads View citations (43)
    See also Working Paper (2012)
  2. Maximum likelihood estimation and uniform inference with sporadic identification failure
    Journal of Econometrics, 2013, 173, (1), 36-56 Downloads View citations (7)
    See also Working Paper (2012)

2012

  1. Asymptotics for LS, GLS, and feasible GLS statistics in an AR(1) model with conditional heteroskedasticity
    Journal of Econometrics, 2012, 169, (2), 196-210 Downloads View citations (1)
    See also Working Paper (2012)
  2. Estimation and Inference With Weak, Semi‐Strong, and Strong Identification
    Econometrica, 2012, 80, (5), 2153-2211 Downloads View citations (26)
    See also Working Paper (2011)
  3. Inference for Parameters Defined by Moment Inequalities: A Recommended Moment Selection Procedure
    Econometrica, 2012, 80, (6), 2805-2826 Downloads View citations (37)
    See also Working Paper (2011)

2010

  1. ASYMPTOTIC SIZE AND A PROBLEM WITH SUBSAMPLING AND WITH THE m OUT OF n BOOTSTRAP
    Econometric Theory, 2010, 26, (02), 426-468 Downloads View citations (34)
  2. Applications of subsampling, hybrid, and size-correction methods
    Journal of Econometrics, 2010, 158, (2), 285-305 Downloads View citations (7)
    See also Working Paper (2007)
  3. Inference for Parameters Defined by Moment Inequalities Using Generalized Moment Selection
    Econometrica, 2010, 78, (1), 119-157 Downloads View citations (94)
    See also Working Paper (2007)

2009

  1. Hybrid and Size-Corrected Subsampling Methods
    Econometrica, 2009, 77, (3), 721-762 Downloads View citations (30)
  2. Incorrect asymptotic size of subsampling procedures based on post-consistent model selection estimators
    Journal of Econometrics, 2009, 152, (1), 19-27 Downloads View citations (6)
  3. Invalidity of the bootstrap and the m out of n bootstrap for confidence interval endpoints defined by moment inequalities
    Econometrics Journal, 2009, 12, (s1), S172-S199 Downloads View citations (4)
  4. VALIDITY OF SUBSAMPLING AND “PLUG-IN ASYMPTOTIC” INFERENCE FOR PARAMETERS DEFINED BY MOMENT INEQUALITIES
    Econometric Theory, 2009, 25, (03), 669-709 Downloads View citations (61)
    See also Working Paper (2007)

2008

  1. Asymptotics for stationary very nearly unit root processes
    Journal of Time Series Analysis, 2008, 29, (1), 203-212 Downloads View citations (3)
    See also Working Paper (2007)
  2. Efficient two-sided nonsimilar invariant tests in IV regression with weak instruments
    Journal of Econometrics, 2008, 146, (2), 241-254 Downloads View citations (12)
  3. Exactly distribution-free inference in instrumental variables regression with possibly weak instruments
    Journal of Econometrics, 2008, 142, (1), 183-200 Downloads View citations (4)
    See also Working Paper (2005)

2007

  1. Performance of conditional Wald tests in IV regression with weak instruments
    Journal of Econometrics, 2007, 139, (1), 116-132 Downloads View citations (25)
  2. RANK TESTS FOR INSTRUMENTAL VARIABLES REGRESSION WITH WEAK INSTRUMENTS
    Econometric Theory, 2007, 23, (06), 1033-1082 Downloads View citations (5)
    See also Working Paper (2006)
  3. Testing with many weak instruments
    Journal of Econometrics, 2007, 138, (1), 24-46 Downloads View citations (22)

2006

  1. Higher-order improvements of the parametric bootstrap for long-memory Gaussian processes
    Journal of Econometrics, 2006, 133, (2), 673-702 Downloads View citations (14)
    See also Working Paper (2002)
  2. Optimal Two-Sided Invariant Similar Tests for Instrumental Variables Regression
    Econometrica, 2006, 74, (3), 715-752 Downloads View citations (97)
  3. Tests for Cointegration Breakdown Over a Short Time Period
    Journal of Business & Economic Statistics, 2006, 24, 379-394 Downloads View citations (7)

2005

  1. Cross-Section Regression with Common Shocks
    Econometrica, 2005, 73, (5), 1551-1585 Downloads View citations (98)
    See also Working Paper (2004)
  2. VALID EDGEWORTH EXPANSIONS FOR THE WHITTLE MAXIMUM LIKELIHOOD ESTIMATOR FOR STATIONARY LONG-MEMORY GAUSSIAN TIME SERIES
    Econometric Theory, 2005, 21, (04), 710-734 Downloads View citations (5)
    See also Working Paper (2002)

2004

  1. Adaptive Local Polynomial Whittle Estimation of Long-range Dependence
    Econometrica, 2004, 72, (2), 569-614 Downloads View citations (55)
    See also Working Paper (2002)
  2. the Block-Block Bootstrap: Improved Asymptotic Refinements
    Econometrica, 2004, 72, (3), 673-700 Downloads View citations (15)
    See also Working Paper (2002)

2003

  1. A Bias--Reduced Log--Periodogram Regression Estimator for the Long--Memory Parameter
    Econometrica, 2003, 71, (2), 675-712 Downloads View citations (43)
    See also Working Paper (2000)
  2. End-of-Sample Instability Tests
    Econometrica, 2003, 71, (6), 1661-1694 Downloads View citations (59)
    See also Working Paper (2002)
  3. Tests for Parameter Instability and Structural Change with Unknown Change Point: A Corrigendum
    Econometrica, 2003, 71, (1), 395-397 Downloads View citations (65)
  4. The Determinants of Econometric Society Fellows Elections
    Econometrica, 2003, 71, (1), 399-407 Downloads View citations (25)

2002

  1. EQUIVALENCE OF THE HIGHER ORDER ASYMPTOTIC EFFICIENCY OF k-STEP AND EXTREMUM STATISTICS
    Econometric Theory, 2002, 18, (05), 1040-1085 Downloads View citations (14)
    See also Working Paper (2000)
  2. Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis
    Journal of Business & Economic Statistics, 2002, 20, (1), 25-44 View citations (47)
    Also in Journal of Business & Economic Statistics, 1992, 10, (3), 251-70 (1992) View citations (1576)

    See also Working Paper (1990)
  3. Generalized Method of Moments Estimation When a Parameter Is on a Boundary
    Journal of Business & Economic Statistics, 2002, 20, (4), 530-44 View citations (16)
  4. Higher-Order Improvements of a Computationally Attractive "k"-Step Bootstrap for Extremum Estimators
    Econometrica, 2002, 70, (1), 119-162 Downloads View citations (61)
    See also Working Paper (2001)
  5. ON THE NUMBER OF BOOTSTRAP REPETITIONS FOR BCa CONFIDENCE INTERVALS
    Econometric Theory, 2002, 18, (04), 962-984 Downloads View citations (8)
    See also Working Paper (2000)

2001

  1. Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models
    Journal of Econometrics, 2001, 101, (1), 123-164 Downloads View citations (92)
  2. Evaluation of a three-step method for choosing the number of bootstrap repetitions
    Journal of Econometrics, 2001, 103, (1-2), 345-386 Downloads View citations (18)
  3. Testing When a Parameter Is on the Boundary of the Maintained Hypothesis
    Econometrica, 2001, 69, (3), 683-734 View citations (117)
    See also Working Paper (1999)

2000

  1. A Three-Step Method for Choosing the Number of Bootstrap Repetitions
    Econometrica, 2000, 68, (1), 23-52 View citations (82)
  2. Inconsistency of the Bootstrap when a Parameter Is on the Boundary of the Parameter Space
    Econometrica, 2000, 68, (2), 399-406 View citations (80)

1999

  1. Consistent Moment Selection Procedures for Generalized Method of Moments Estimation
    Econometrica, 1999, 67, (3), 543-564 View citations (89)
    See also Working Paper (1997)
  2. Estimation When a Parameter Is on a Boundary
    Econometrica, 1999, 67, (6), 1341-1384 View citations (113)

1998

  1. Hypothesis testing with a restricted parameter space
    Journal of Econometrics, 1998, 84, (1), 155-199 Downloads View citations (25)
    See also Working Paper (1994)
  2. Semiparametric Estimation of the Intercept of a Sample Selection Model
    Review of Economic Studies, 1998, 65, (3), 497-517 Downloads View citations (68)

1997

  1. A Conditional Kolmogorov Test
    Econometrica, 1997, 65, (5), 1097-1128 View citations (113)
    See also Working Paper (1996)
  2. A Stopping Rule for the Computation of Generalized Method of Moments Estimators
    Econometrica, 1997, 65, (4), 913-932 View citations (8)
    See also Working Paper (1996)

1996

  1. Admissibility of the Likelihood Ratio Test When the Parameter Space Is Restricted under the Alternative
    Econometrica, 1996, 64, (3), 705-18 Downloads View citations (8)
  2. Optimal changepoint tests for normal linear regression
    Journal of Econometrics, 1996, 70, (1), 9-38 Downloads View citations (111)
    See also Working Paper (1992)

1995

  1. Nonlinear Econometric Models with Deterministically Trending Variables
    Review of Economic Studies, 1995, 62, (3), 343-360 Downloads View citations (23)
    See also Working Paper (1993)
  2. Nonparametric Kernel Estimation for Semiparametric Models
    Econometric Theory, 1995, 11, (03), 560-586 Downloads View citations (95)

1994

  1. Approximately Median-Unbiased Estimation of Autoregressive Models
    Journal of Business & Economic Statistics, 1994, 12, (2), 187-204 View citations (235)
  2. Asymptotics for Semiparametric Econometric Models via Stochastic Equicontinuity
    Econometrica, 1994, 62, (1), 43-72 Downloads View citations (110)
  3. Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative
    Econometrica, 1994, 62, (6), 1383-1414 Downloads View citations (1008)
    See also Working Paper (1992)
  4. The Large Sample Correspondence between Classical Hypothesis Tests and Bayesian Posterior Odds Tests
    Econometrica, 1994, 62, (5), 1207-32 Downloads View citations (15)
    See also Working Paper (1992)

1993

  1. Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models
    Econometrica, 1993, 61, (1), 139-65 Downloads View citations (174)
  2. Tests for Parameter Instability and Structural Change with Unknown Change Point
    Econometrica, 1993, 61, (4), 821-56 Downloads View citations (1548)
    See also Working Paper (1990)
  3. Tests of specification for parametric and semiparametric models
    Journal of Econometrics, 1993, 57, (1-3), 277-318 Downloads View citations (36)
    See also Working Paper (1991)

1992

  1. An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
    Econometrica, 1992, 60, (4), 953-66 Downloads View citations (408)
    See also Working Paper (1990)
  2. Estimation of polynomial distributed lags and leads with end point constraints
    Journal of Econometrics, 1992, 53, (1-3), 123-139 Downloads View citations (2)
    See also Working Paper (1989)
  3. Generic Uniform Convergence
    Econometric Theory, 1992, 8, (02), 241-257 Downloads View citations (65)
    See also Working Paper (1990)

1991

  1. An empirical process central limit theorem for dependent non-identically distributed random variables
    Journal of Multivariate Analysis, 1991, 38, (2), 187-203 Downloads View citations (3)
    See also Working Paper (1989)
  2. An estimation of the aggregate educational production function for public schools in Louisiana
    The Review of Black Political Economy, 1991, 20, (1), 25-47 Downloads
  3. Asymptotic Normality of Series Estimators for Nonparametric and Semiparametric Regression Models
    Econometrica, 1991, 59, (2), 307-45 Downloads View citations (122)
    See also Working Paper (1989)
  4. Asymptotic optimality of generalized CL, cross-validation, and generalized cross-validation in regression with heteroskedastic errors
    Journal of Econometrics, 1991, 47, (2-3), 359-377 Downloads View citations (47)
  5. Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
    Econometrica, 1991, 59, (3), 817-58 Downloads View citations (1292)
    See also Working Paper (1989)

1990

  1. Additive Interactive Regression Models: Circumvention of the Curse of Dimensionality
    Econometric Theory, 1990, 6, (04), 466-479 Downloads View citations (18)
    See also Working Paper (1989)

1989

  1. A Unified Theory of Estimation and Inference for Nonlinear Dynamic Models A.R. Gallant and H. White
    Econometric Theory, 1989, 5, (01), 166-171 Downloads
  2. Power in Econometric Applications
    Econometrica, 1989, 57, (5), 1059-90 Downloads View citations (27)
    See also Working Paper (1986)

1988

  1. Chi-Square Diagnostic Tests for Econometric Models: Theory
    Econometrica, 1988, 56, (6), 1419-53 Downloads View citations (61)
  2. Chi-square diagnostic tests for econometric models: Introduction and applications
    Journal of Econometrics, 1988, 37, (1), 135-156 Downloads View citations (55)
  3. Inference in Nonlinear Econometric Models with Structural Change
    Review of Economic Studies, 1988, 55, (4), 615-640 Downloads View citations (40)
  4. Laws of Large Numbers for Dependent Non-Identically Distributed Random Variables
    Econometric Theory, 1988, 4, (03), 458-467 Downloads View citations (82)
    See also Working Paper (1987)

1987

  1. Asymptotic Results for Generalized Wald Tests
    Econometric Theory, 1987, 3, (03), 348-358 Downloads View citations (50)
    See also Working Paper (1986)
  2. Consistency in Nonlinear Econometric Models: A Generic Uniform Law of Large Numbers [On Unification of the Asymptotic Theory of Nonlinear Econometric Models]
    Econometrica, 1987, 55, (6), 1465-71 Downloads View citations (22)
  3. Least Squares Regression with Integrated or Dynamic Regressors under Weak Error Assumptions
    Econometric Theory, 1987, 3, (01), 98-116 Downloads View citations (1)

1986

  1. A Note on the Unbiasedness of Feasible GLS, Quasi-maximum Likelihood, Robust, Adaptive, and Spectral Estimators of the Linear Model
    Econometrica, 1986, 54, (3), 687-98 Downloads View citations (2)
    See also Working Paper (1985)
  2. Complete Consistency: A Testing Analogue of Estimator Consistency
    Review of Economic Studies, 1986, 53, (2), 263-269 Downloads View citations (1)
  3. Stability Comparisons of Estimators
    Econometrica, 1986, 54, (5), 1207-35 Downloads View citations (1)

1985

  1. A Zero-One Result for the Least Squares Estimator
    Econometric Theory, 1985, 1, (01), 85-96 Downloads View citations (3)
    See also Working Paper (1984)

Edited books

2010

  1. Identification and Inference for Econometric Models
    Cambridge Books, Cambridge University Press

2005

  1. Identification and Inference for Econometric Models
    Cambridge Books, Cambridge University Press View citations (2)

Chapters

1986

  1. Empirical process methods in econometrics
    Chapter 37 in Handbook of Econometrics, 1986, vol. 4, pp 2247-2294 Downloads View citations (5)
    See also Working Paper (1993)

Software Items

2016

  1. CMITEST: Stata module to implement testing and inference methods for conditional moment inequalities/equalities models
    Statistical Software Components, Boston College Department of Economics Downloads
 
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