The possibility that a structural equation may not be identi...ed casts doubt on the measures of estimator precision that are normally used. We argue that the observed identi...ability test statisticâ€¦ (More)

There are many instances in the statistical literature in which inference is based on a normalized quadratic form in a standard normal vector, normalized by the squared length of that vector.â€¦ (More)

Nelson and Startz (Econometrica, 58, 1990), Maddala and Jong (Econometrica, 60, 1992) and Wolgrom (Econometrica, 69, 2001) have shown that the density of the two-stage least squares estimator may beâ€¦ (More)

We derive a closed form expression for the asymptotic distribution of the LIML estimator for the coefficients of both endogenous and exogenous variables in a partially identified linear structuralâ€¦ (More)

The average exponential tests for structural change of Andrews and Ploberger (Econometrica, 62, 1994) and Andrews, Lee and Ploberger (Journal of Econometrics 70, 1996) and modifications thereofâ€¦ (More)

This paper studies the effects of common shocks on the OLS estimators of the slopesâ€™ parameters in linear panel data models. The shocks are assumed to affect both the errors and some of theâ€¦ (More)

We study the asymptotic distribution of the statistics suggested by Sargan/Byron/Wegge and Basmann for testing for over-identification in partially identified linear structural equations and deriveâ€¦ (More)

There are two basic ways of assessing the goodness of t of theories to data one based on stochastic theory (for example, the maximised likelihood in some form) and one based on deterministic theory,â€¦ (More)