3 papers
econ.EM2020
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…
stat.ME2017
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…
math.ST2012
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…