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math.ST2020
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…
math.ST2015
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…
math.ST2009★ 38 cited
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…