Selected Publications
Impossible inference in econometrics: theory and applications
This paper studies models in which hypothesis tests have trivial power, that is, power smaller than […]
Efficiency loss of asymptotically efficient tests in an instrumental variables regression
In a model with endogenous regressors, heteroskedastic and autocorrelated (HAC) errors and weak instruments, tests that […]
Likelihood inference and the role of initial conditions for the dynamic panel data model
Lancaster (2002) proposes an estimator for the dynamic panel data model with homoskedastic errors and zero […]
A critical value function approach, with an application to persistent time-series
Researchers often rely on the t-statistic to make inference on parameters in statistical models. It is […]
Optimal two-sided tests for instrumental variables regression with heteroskedastic and autocorrelated errors
This paper considers two-sided tests for the parameter of an endogenous variable in an instrumental variable […]