4 papers
Properties of the Conditional Likelihood Ratio Test under Discrete Approximation
Marcelo J. Moreira, Mahrad Sharifvaghefi
The conditional likelihood ratio (CLR) test is a valuable tool for inference under weak identification, with appealing theoretical properties in both linear and non-linear settings…
Power Bounds and Efficiency Loss for Asymptotically Optimal Tests in IV Regression
Marcelo J. Moreira, Geert Ridder, Mahrad Sharifvaghefi
We characterize the maximal attainable power-size gap in overidentified instrumental variables models with heteroskedastic or autocorrelated (HAC) errors. Using total variation dis…
Variable Selection in High Dimensional Linear Regressions with Parameter Instability
Alexander Chudik, M. Hashem Pesaran, Mahrad Sharifvaghefi
This paper considers the problem of variable selection allowing for parameter instability. It distinguishes between signal and pseudo-signal variables that are correlated with the…
IPAD: Stable Interpretable Forecasting with Knockoffs Inference
Yingying Fan, Jinchi Lv, Mahrad Sharifvaghefi +1
Interpretability and stability are two important features that are desired in many contemporary big data applications arising in economics and finance. While the former is enjoyed…