38 citations · 38 across the 6 of their papers we have counts for
7 papers
Continuously Updating GMM in Linear IV Models: A Polynomial Approach
Marcelo J. Moreira, Whitney K. Newey, Mahrad Sharifvaghefi
This paper characterizes the global minimum of the continuously updating generalized method of moments (CU-GMM) objective in linear instrumental variables models. We allow optimal…
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…
Confidence Sets under Weak Identification: Theory and Practice
Gustavo Schlemper, Marcelo J. Moreira
We develop new methods for constructing confidence sets and intervals in linear instrumental variables (IV) models based on tests that remain valid under weak identification and un…
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…
Efficiency Loss of Asymptotically Efficient Tests in an Instrumental Variables Regression
Marcelo J. Moreira, Geert Ridder
In an instrumental variable model, the score statistic can be bounded for any alternative in parts of the parameter space. These regions involve a constraint on the first-stage reg…
Optimal Two-Sided Tests for Instrumental Variables Regression with Heteroskedastic and Autocorrelated Errors
Humberto Moreira, Marcelo J. Moreira
This paper considers two-sided tests for the parameter of an endogenous variable in an instrumental variable (IV) model with heteroskedastic and autocorrelated errors. We develop t…
A maximum likelihood method for the incidental parameter problem
Marcelo J. Moreira
This paper uses the invariance principle to solve the incidental parameter problem of [Econometrica 16 (1948) 1--32]. We seek group actions that preserve the structural parameter a…