2 papers
math.ST2016
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…
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…