Instrumental variables regression with weak instruments

Article Abstract:

An alternative asymptotic structure for determining distributions of statistics in single-equation IV regression with n endogenous regressors is established. The partial correlations of the instruments and endogenous variables are classified as weak and in the neighborhood of zero. Two stage least squares and limited information maximum likelihood estimators are given to various statistics. It was observed that asymptotic results will fail even when sample sizes are large when there is no strong association between instruments and endogenous regressors.

Regression analysis, Maximum likelihood estimates (Statistics), Least squares, Maximum likelihood (Statistics)

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Efficient tests for an autoregressive unit root

Article Abstract:

An asymptotic approach is used to conduct point-optimal invariant tests for a unit moving-average root. The technique is employed in investigating tests based on the standard Dickey-Fuller t statistic and the modified Dickey-Fuller statistic. Results show that the proposed asymptotic theory can easily compute the standard and modified Dickey-Fuller t statistics from least squares regressions. It also outperforms other computational techniques in terms of small-sample size and power.

Research, Asymptotic efficiencies (Statistics)

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A simple estimator of cointegrating vectors in higher order integrated systems

Article Abstract:

Asymptotically accurate estimators for cointegrating vectors have been developed using procedures which necessitate some knowledge of cointegrating variables, and how individual series are ordered. The study emphasises cointegrating relations, with short run dynamics parameter dealt with as nuisance parameters. Where short-term dynamics are important, the estimated cointegrating vectors can be imposed. The estimators have been used for an empirical study of the money supply.

Noncommercial research organizations, Models, Analysis, Supply and demand, Money, Error-correcting codes

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