137 citations · 146 across the 6 of their papers we have counts for
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math.ST2017★ 7 cited
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…
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…