137 citations · 146 across the 6 of their papers we have counts for
7 papers
Valid t-ratio Inference for IV
David S. Lee, Justin McCrary, Marcelo J. Moreira +1
In the single IV model, current practice relies on the first-stage F exceeding some threshold (e.g., 10) as a criterion for trusting t-ratio inferences, even though this yields an…
Optimal Invariant Tests in an Instrumental Variables Regression With Heteroskedastic and Autocorrelated Errors
Marcelo J. Moreira, Mahrad Sharifvaghefi, Geert Ridder
This paper uses model symmetries in the instrumental variable (IV) regression to derive an invariant test for the causal structural parameter. Contrary to popular belief, we show t…
Likelihood Inference and The Role of Initial Conditions for the Dynamic Panel Data Model
Jose Diogo Barbosa, Marcelo J. Moreira
Lancaster (2002} proposes an estimator for the dynamic panel data model with homoskedastic errors and zero initial conditions. In this paper, we show this estimator is invariant to…
Impossible Inference in Econometrics: Theory and Applications
Marinho Bertanha, Marcelo J. Moreira
This paper studies models in which hypothesis tests have trivial power, that is, power smaller than size. This testing impossibility, or impossibility type A, arises when any alter…
A Critical Value Function Approach, with an Application to Persistent Time-Series
Marcelo J. Moreira, Rafael Mourao
Researchers often rely on the t-statistic to make inference on parameters in statistical models. It is common practice to obtain critical values by simulation techniques. This pape…
Asymptotic power of sphericity tests for high-dimensional data
Alexei Onatski, Marcelo J. Moreira, Marc Hallin
This paper studies the asymptotic power of tests of sphericity against perturbations in a single unknown direction as both the dimensionality of the data and the number of observat…
Signal Detection in High Dimension: The Multispiked Case
Alexei Onatski, Marcelo J. Moreira, Marc Hallin
This paper deals with the local asymptotic structure, in the sense of Le Cam's asymptotic theory of statistical experiments, of the signal detection problem in high dimension. More…