Donald W. K. Andrews

Yale University - Cowles Foundation

Professor of Economics

Box 208281

New Haven, CT 06520-8281

United States

  • Yale University - Cowles Foundation

    • Email
    • Tel: 203-432-3698
    • Fax: 203-432-6167
SCHOLARLY PAPERS

43

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646

Scholarly Papers (43)

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1.

Estimation and Inference with Weak, Semi-Strong, and Strong Identification

Downloads 998 (42,504)
Citation 36

Estimation and Inference with Weak, Semi-Strong, and Strong Identification

Cowles Foundation Discussion Paper No. 1773
Number of pages: 174 Posted: 09 Oct 2010
Donald W. K. Andrews and Xu Cheng
Yale University - Cowles Foundation and University of Pennsylvania - Department of Economics
Downloads 760 (60,850)
Citation 17

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Asymptotic size, Confidence set, Estimator, Identification, Nonlinear models, Strong identification, Test, Weak identification

Estimation and Inference with Weak, Semi-Strong, and Strong Identification

Cowles Foundation Discussion Paper No. 1773R
Number of pages: 224 Posted: 26 Jul 2011 Last Revised: 02 Aug 2011
Donald W. K. Andrews and Xu Cheng
Yale University - Cowles Foundation and University of Pennsylvania - Department of Economics
Downloads 238 (234,304)
Citation 16

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Asymptotic size, Confidence set, Estimator, Identification, Nonlinear models, Strong identification, Test, Weak identification

2.

Cross-Section Regression with Common Shocks

Number of pages: 44 Posted: 11 Jul 2003
Donald W. K. Andrews
Yale University - Cowles Foundation
Downloads 609 (81,956)
Citation 20

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Asymptotics, Common shocks, Dependence, Exchangeability, Factor model, Inconsistency, Regression

3.

Inference with Weak Instruments

Downloads 533 (96,932)
Citation 35

Inference with Weak Instruments

Cowles Foundation Discussion Paper No. 1530
Number of pages: 68 Posted: 11 Aug 2005
Donald W. K. Andrews and James H. Stock
Yale University - Cowles Foundation and Harvard University - Department of Economics
Downloads 442 (120,098)

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Conditional likelihood ratio test, instrumental variables, many instrumental variables, power envelope, weak instruments

Inference with Weak Instruments

NBER Working Paper No. t0313
Number of pages: 60 Posted: 19 Oct 2005 Last Revised: 12 May 2023
James H. Stock and Donald W. K. Andrews
Harvard University - Department of Economics and Yale University - Cowles Foundation
Downloads 91 (517,887)
Citation 4

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4.

Inference Based on Conditional Moment Inequalities

Downloads 284 (197,317)
Citation 69

Inference Based on Conditional Moment Inequalities

Cowles Foundation Discussion Paper No. 1761
Number of pages: 148 Posted: 17 Jun 2010
Donald W. K. Andrews and Xiaoxia Shi
Yale University - Cowles Foundation and University of Wisconsin - Madison
Downloads 156 (344,542)
Citation 15

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Asymptotic size, Asymptotic power, Conditional moment inequalities, Confidence set, Cramer-von Mises, Generalized moment selection, Kolmogorov-Smirnov, Moment inequalities

Inference Based on Conditional Moment Inequalities

Cowles Foundation Discussion Paper No. 1761RR
Number of pages: 170 Posted: 22 May 2012
Donald W. K. Andrews and Xiaoxia Shi
Yale University - Cowles Foundation and University of Wisconsin - Madison
Downloads 73 (593,196)
Citation 5

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Asymptotic size, Asymptotic power, Conditional moment inequalities, Confidence set, Cramér-von Mises, Generalized moment selection, Kolmogorov-Smirnov, Moment inequalities

Inference Based on Conditional Moment Inequalities

Cowles Foundation Discussion Paper No. 1761R
Number of pages: 171 Posted: 26 Jul 2011 Last Revised: 02 Aug 2011
Donald W. K. Andrews and Xiaoxia Shi
Yale University - Cowles Foundation and University of Wisconsin - Madison
Downloads 55 (689,122)
Citation 29

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Asymptotic size, Asymptotic power, Conditional moment inequalities, Confidence set, Cramer-von Mises, Generalized moment selection, Kolmogorov-Smirnov, Moment inequalities

5.

Generic Results for Establishing the Asymptotic Size of Confidence Sets and Tests

Cowles Foundation Discussion Paper No. 1813
Number of pages: 48 Posted: 01 Aug 2011
Donald W. K. Andrews, Xu Cheng and Patrik Guggenberger
Yale University - Cowles Foundation, University of Pennsylvania - Department of Economics and Pennsylvania State University, College of the Liberal Arts - Department of Economic
Downloads 275 (203,919)
Citation 38

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Asymptotically similar, Asymptotic size, Autoregressive model, Confidence interval, Nonlinear regression, Test, Weak instruments

6.

GMM Estimation and Uniform Subvector Inference with Possible Identification Failure

Downloads 274 (204,666)
Citation 1

GMM Estimation and Uniform Subvector Inference with Possible Identification Failure

Cowles Foundation Discussion Paper No. 1828
Number of pages: 84 Posted: 28 Oct 2011
Donald W. K. Andrews and Xu Cheng
Yale University - Cowles Foundation and University of Pennsylvania - Department of Economics
Downloads 191 (288,173)
Citation 1

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Asymptotic size, Confidence set, Generalized method of moments, GMM estimator, Identification, Nonlinear models, Test, Wald test, Weak identification

GMM Estimation and Uniform Subvector Inference with Possible Identification Failure

Cowles Foundation Discussion Paper No. 1828R
Number of pages: 86 Posted: 01 Feb 2013
Donald W. K. Andrews and Xu Cheng
Yale University - Cowles Foundation and University of Pennsylvania - Department of Economics
Downloads 83 (549,222)
Citation 3

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asymptotic size, confidence set, generalized method of moments, GMM estimator, identification, nonlinear models, Test, Wald test, Weak identification

7.

End-of-Sample Cointegration Breakdown Tests

Number of pages: 56 Posted: 08 Mar 2003
Donald W. K. Andrews and Jae-Young Kim
Yale University - Cowles Foundation and SUNY - Albany
Downloads 268 (209,269)

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Cointegration, Least Squares Estimator, Model

8.

Maximum Likelihood Estimation and Uniform Inference with Sporadic Identification Failure

Downloads 251 (223,368)
Citation 8

Maximum Likelihood Estimation and Uniform Inference with Sporadic Identification Failure

Cowles Foundation Discussion Paper No. 1824
Number of pages: 106 Posted: 17 Oct 2011
Donald W. K. Andrews and Xu Cheng
Yale University - Cowles Foundation and University of Pennsylvania - Department of Economics
Downloads 208 (266,434)
Citation 3

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Asymptotic size, Binary choice, Confidence set, Estimator, Identification, Likelihood, Nonlinear models, Test, Smooth transition threshold autoregression, Weak identification

Maximum Likelihood Estimation and Uniform Inference with Sporadic Identification Failure

Cowles Foundation Discussion Paper No. 1824R
Number of pages: 106 Posted: 12 Oct 2012 Last Revised: 05 Nov 2012
Donald W. K. Andrews and Xu Cheng
Yale University - Cowles Foundation and University of Pennsylvania - Department of Economics
Downloads 43 (769,243)
Citation 7

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Asymptotic size, Binary choice, Confidence set, Estimator, Identification, Likelihood, Nonlinear models, Test, Smooth transition threshold autoregression, Weak identification

9.

Examples of L2-Complete and Boundedly-Complete Distributions

Cowles Foundation Discussion Paper No. 1801
Number of pages: 26 Posted: 14 May 2011 Last Revised: 03 Jun 2011
Donald W. K. Andrews
Yale University - Cowles Foundation
Downloads 213 (261,422)
Citation 4

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Bivariate distribution, Bounded completeness, Canonical correlation, Completeness, Identification, Measurement error, Nonparametric instrumental variable regression

10.

Inference for Parameters Defined by Moment Inequalities Using Generalized Moment Selection

Cowles Foundation Discussion Paper No. 1631
Number of pages: 59 Posted: 15 Oct 2007 Last Revised: 21 Oct 2007
Donald W. K. Andrews and Gustavo Soares
Yale University - Cowles Foundation and Yale University - Department of Economics
Downloads 212 (262,550)
Citation 29

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Asymptotic size, Asymptotic power, Confidence set, Exact size, Generalized moment selection, m out of n bootstrap, Subsampling, Moment inequalities, Moment selection, Test

11.

Optimal Invariant Similar Tests for Instrumental Variables Regression

Downloads 199 (278,189)
Citation 64

Optimal Invariant Similar Tests for Instrumental Variables Regression

Number of pages: 84 Posted: 10 Aug 2004
Donald W. K. Andrews, Marcelo J. Moreira and James H. Stock
Yale University - Cowles Foundation, Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças and Harvard University - Department of Economics
Downloads 130 (399,221)

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Instrumental variables regression, invariant tests, optimal tests, similar tests, weak instruments, weighted average power

Optimal Invariant Similar Tests for Instrumental Variables Regression

NBER Working Paper No. t0299
Number of pages: 83 Posted: 23 Aug 2004 Last Revised: 28 Apr 2023
Donald W. K. Andrews, Marcelo J. Moreira and James H. Stock
Yale University - Cowles Foundation, Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças and Harvard University - Department of Economics
Downloads 69 (612,561)
Citation 15

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12.

Identification- and Singularity-Robust Inference for Moment Condition Models

Downloads 194 (284,624)
Citation 11

Identification- and Singularity-Robust Inference for Moment Condition Models

Cowles Foundation Discussion Paper No. 1978
Number of pages: 154 Posted: 07 Jan 2015
Donald W. K. Andrews and Patrik Guggenberger
Yale University - Cowles Foundation and Pennsylvania State University, College of the Liberal Arts - Department of Economic
Downloads 103 (476,370)
Citation 11

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Asymptotics, Conditional likelihood ratio test, Confidence set, Identification, Inference, Moment conditions, Robust, Singular variance, Test, Weak identification, Weak instruments

Identification- and Singularity-Robust Inference for Moment Condition Models

Cowles Foundation Discussion Paper No. 1978R
Number of pages: 205 Posted: 18 Oct 2018
Donald W. K. Andrews and Patrik Guggenberger
Yale University - Cowles Foundation and Pennsylvania State University, College of the Liberal Arts - Department of Economic
Downloads 51 (714,029)
Citation 1

Abstract:

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Asymptotics, Conditional likelihood ratio test, Confidence set, Identification, Inference, Moment conditions, Robust, Singular variance, Test, Weak identification, Weak instruments

Identification- and Singularity-Robust Inference for Moment Condition Models

Cowles Foundation Discussion Paper No. 1978R2
Number of pages: 212 Posted: 05 Apr 2019
Donald W. K. Andrews and Patrik Guggenberger
Yale University - Cowles Foundation and Pennsylvania State University, College of the Liberal Arts - Department of Economic
Downloads 40 (791,959)
Citation 2

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Asymptotics, Conditional likelihood ratio test, Confidence set, Identification, Inference, Moment conditions, Robust, Singular variance, Test, Weak identification, Weak instruments

13.

Higher-Order Improvements of the Parametric Bootstrap for Markov Processes

Number of pages: 52 Posted: 07 Nov 2001
Donald W. K. Andrews
Yale University - Cowles Foundation
Downloads 190 (290,154)

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Asymptotics, Edgeworth Expansion, Gauss-Newton, k-step Bootstrap, Maximum Likelihood Estimator, Newton-Raphson, Parametric, t Statistic

14.

Inference for Parameters Defined by Moment Inequalities: A Recommended Moment Selection Procedure

Downloads 181 (302,861)
Citation 10

Inference for Parameters Defined by Moment Inequalities: A Recommended Moment Selection Procedure

Cowles Foundation Discussion Paper No. 1676
Number of pages: 82 Posted: 01 Oct 2008 Last Revised: 05 Aug 2011
Donald W. K. Andrews and Panle Jia
Yale University - Cowles Foundation and Massachusetts Institute of Technology (MIT) - Department of Economics
Downloads 92 (514,254)
Citation 2

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Asymptotic size, Asymptotic power, Confidence set, Exact size, Generalized moment selection, Moment inequalities, Partial identification, Refined moment selection, Test

Inference for Parameters Defined by Moment Inequalities: A Recommended Moment Selection Procedure

Cowles Foundation Discussion Paper No. 1676R
Number of pages: 109 Posted: 01 Aug 2011
Donald W. K. Andrews and Panle Jia
Yale University - Cowles Foundation and Massachusetts Institute of Technology (MIT) - Department of Economics
Downloads 89 (525,385)
Citation 9

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Asymptotic size, Asymptotic power, Bootstrap, Confidence set, Generalized moment selection, Moment inequalities, Partial identification, Refined moment selection, Test, Unidentified parameter

15.

End-of-Sample Instability Tests

Number of pages: 44 Posted: 13 Jun 2002
Donald W. K. Andrews
Yale University - Cowles Foundation
Downloads 169 (321,600)
Citation 13

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Instrumental Variable Estimator, Least Squares Estimator, Parameter Change, Structural Instability Test, Structural Change

16.

The Block-Block Bootstrap: Improved Asymptotic Refinements

Number of pages: 37 Posted: 13 Jun 2002
Donald W. K. Andrews
Yale University - Cowles Foundation
Downloads 169 (321,600)
Citation 4

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Asymptotics, Block Bootstrap, Block Statistics, Edgeworth Expansion, Extremum Estimator, Generalized Method of Moments Estimator, Maximum Likelihood Estimator, t Statistic, Test of Over-identifying Restrictions

17.

Rank Tests for Instrumental Variables Regression with Weak Instruments

Cowles Foundation Discussion Paper No. 1564
Number of pages: 52 Posted: 31 Mar 2006
Donald W. K. Andrews and Gustavo Soares
Yale University - Cowles Foundation and Yale University - Department of Economics
Downloads 161 (335,358)

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Asymptotically similar tests, Conditional likelihood ratio test, Instrumental variables regression, Lagrange multiplier test, Power of test, Rank tests, Thick-tailed distribution, Weak instruments

18.

Asymptotics for LS, GLS, and Feasible GLS Statistics in an AR(1) Model with Conditional Heteroskedasticity

Downloads 155 (346,103)

Asymptotics for LS, GLS, and Feasible GLS Statistics in an AR(1) Model with Conditional Heteroskedasticity

Cowles Foundation Discussion Paper No. 1665RR
Number of pages: 56 Posted: 17 Feb 2012
Donald W. K. Andrews and Patrik Guggenberger
Yale University - Cowles Foundation and Pennsylvania State University, College of the Liberal Arts - Department of Economic
Downloads 90 (521,604)

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Asymptotic distribution, Autoregression, Conditional heteroskedasticity, Generalized least squares, Least squares

Asymptotics for LS, GLS, and Feasible GLS Statistics in an AR(1) Model with Conditional Heteroskedasticity

Cowles Foundation Discussion Paper No. 1665R
Number of pages: 54 Posted: 01 Apr 2010
Donald W. K. Andrews and Patrik Guggenberger
Yale University - Cowles Foundation and Pennsylvania State University, College of the Liberal Arts - Department of Economic
Downloads 65 (632,735)
Citation 1

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Asymptotic distribution, Autoregression, Conditional heteroskedasticity, Generalized least squares, Least squares

19.

Nonparametric Inference Based on Conditional Moment Inequalities

Downloads 147 (361,495)
Citation 12

Nonparametric Inference Based on Conditional Moment Inequalities

Cowles Foundation Discussion Paper No. 1840
Number of pages: 77 Posted: 19 Dec 2011
Donald W. K. Andrews and Xiaoxia Shi
Yale University - Cowles Foundation and University of Wisconsin - Madison
Downloads 51 (714,029)
Citation 4

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Asymptotic size, Kernel, Local power, Moment inequalities, Nonparametric inference, Partial identification

Nonparametric Inference Based on Conditional Moment Inequalities

Cowles Foundation Discussion Paper No. 1840R
Number of pages: 100 Posted: 20 Feb 2013
Donald W. K. Andrews and Xiaoxia Shi
Yale University - Cowles Foundation and University of Wisconsin - Madison
Downloads 49 (727,307)
Citation 3

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asymptotic size, kernel, local power, moment inequalities, nonparametric inference, partial identification

Nonparametric Inference Based on Conditional Moment Inequalities

Cowles Foundation Discussion Paper No. 1840RR
Number of pages: 103 Posted: 11 Oct 2013 Last Revised: 14 Nov 2013
Donald W. K. Andrews and Xiaoxia Shi
Yale University - Cowles Foundation and University of Wisconsin - Madison
Downloads 47 (740,815)
Citation 2

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Asymptotic size, Kernel, Local power, Moment inequalities, Nonparametric inference, Partial identification

20.

The Limit of Finite-Sample Size and a Problem With Subsampling

Cowles Foundation Discussion Paper No. 1605R
Number of pages: 69 Posted: 06 Mar 2007
Donald W. K. Andrews and Patrik Guggenberger
Yale University - Cowles Foundation and Pennsylvania State University, College of the Liberal Arts - Department of Economic
Downloads 141 (373,623)

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Asymptotic size, b < n bootstrap, Finite-sample size, Over-rejection, Size correction, Subsample confidence interval, Subsample test

21.

Identification-Robust Subvector Inference

Cowles Foundation Discussion Paper No. 2105
Number of pages: 237 Posted: 07 Sep 2017 Last Revised: 16 Mar 2018
Donald W. K. Andrews
Yale University - Cowles Foundation
Downloads 122 (417,807)
Citation 7

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Asymptotics, Confidence set, Identification-robust, Inference, Instrumental variables, Moment condition, Robust, Test

22.

Valid Edgeworth Expansions for the Whittle Maximum Likelihood Estimator for Stationary Long-Memory Gaussian Time Series

Number of pages: 26 Posted: 01 Jun 2002
Donald W. K. Andrews and Offer Lieberman
Yale University - Cowles Foundation and Technion-Israel Institute of Technology - The William Davidson Faculty of Industrial Engineering & Management
Downloads 117 (431,076)

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ARAFIMA, Edgeworth Expansion, Long Memory, Whittle Estimator

23.

Applications of Subsampling, Hybrid, and Size-Correction Methods

Cowles Foundation Discussion Paper No. 1608
Number of pages: 46 Posted: 17 May 2007
Donald W. K. Andrews and Patrik Guggenberger
Yale University - Cowles Foundation and Pennsylvania State University, College of the Liberal Arts - Department of Economic
Downloads 108 (457,388)
Citation 2

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Asymptotic size, Finite-sample size, Hybrid test, Instrumental variable, Over-rejection, Parameter near boundary, Size correction, Subsampling confidence interval, Subsampling test, Weak instrument

24.

Higher-Order Improvements of the Parametric Bootstrap for Long-Memory Gaussian Processes

Number of pages: 43 Posted: 29 Aug 2002
Donald W. K. Andrews and Offer Lieberman
Yale University - Cowles Foundation and Technion-Israel Institute of Technology - The William Davidson Faculty of Industrial Engineering & Management
Downloads 108 (457,388)

Abstract:

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Asymptotics, Confidence Intervals, Delta Method, Edgeworth Expansion, Gaussian Process, Long Memory, Maximum Likelihood Estimator, Parametric Bootstrap, t Statistic, Whittle Likelihood

25.

Similar-on-The-Boundary Tests for Moment Inequalities Exist, but Have Poor Power

Downloads 107 (460,440)
Citation 3

Similar-on-The-Boundary Tests for Moment Inequalities Exist, but Have Poor Power

Cowles Foundation Discussion Paper No. 1815R
Number of pages: 23 Posted: 06 Mar 2012
Donald W. K. Andrews
Yale University - Cowles Foundation
Downloads 67 (622,339)
Citation 2

Abstract:

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Moment inequality, One-sided test, Power, similar, Test

Similar-on-The-Boundary Tests for Moment Inequalities Exist, But Have Poor Power

Cowles Foundation Discussion Paper No. 1815
Number of pages: 20 Posted: 11 Aug 2011
Donald W. K. Andrews
Yale University - Cowles Foundation
Downloads 40 (791,959)

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Moment inequality, One-sided test, Power, Similar, Test

26.

Hybrid and Size-Corrected Subsample Methods

Cowles Foundation Discussion Paper No. 1606
Number of pages: 87 Posted: 06 Mar 2007
Donald W. K. Andrews and Patrik Guggenberger
Yale University - Cowles Foundation and Pennsylvania State University, College of the Liberal Arts - Department of Economic
Downloads 106 (463,516)
Citation 8

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Asymptotic size, Autoregressive model, b < n bootstrap, Finite-sample size, Hybrid test, Model selection, Over-rejection, Parameter near boundary, Size correction, Subsample confidence interval, Subsample test

27.

Exactly Distribution-Free Inference in Instrumental Variables Regression with Possibly Weak Instruments

Number of pages: 29 Posted: 07 Apr 2005
Donald W. K. Andrews and Vadim Marmer
Yale University - Cowles Foundation and affiliation not provided to SSRN
Downloads 104 (469,931)
Citation 2

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Aligned ranks, Anderson-Rubin statistic, categorical covariates, exact size, normal scores, rank test, weak instruments, Wilcoxon scores

28.

A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter

Downloads 101 (479,686)
Citation 2

A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter

Cowles Foundation Discussion Paper No. 1812
Number of pages: 34 Posted: 01 Aug 2011 Last Revised: 05 Aug 2011
Donald W. K. Andrews and Patrik Guggenberger
Yale University - Cowles Foundation and Pennsylvania State University, College of the Liberal Arts - Department of Economic
Downloads 54 (695,269)

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Asymptotically similar, Asymptotic size, Autoregressive model, Conditional heteroskedasticity, Confidence interval, Hybrid test, Subsampling test, Unit root

A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter

Cowles Foundation Discussion Paper No. 1812R
Number of pages: 40 Posted: 15 Dec 2012
Donald W. K. Andrews and Patrik Guggenberger
Yale University - Cowles Foundation and Pennsylvania State University, College of the Liberal Arts - Department of Economic
Downloads 47 (740,815)
Citation 1

Abstract:

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asymptotically similar, asymptotic size, autoregressive model, conditional heteroskedasticity, confidence interval, hybrid test, subsampling test, unit root

29.

Asymptotics for LS, GLS, and Feasible GLS Statistics in an AR(1) Model with Conditional Heteroskedaticity

Cowles Foundation Discussion Paper No. 1665
Number of pages: 47 Posted: 09 Jun 2008
Donald W. K. Andrews and Patrik Guggenberger
Yale University - Cowles Foundation and Pennsylvania State University, College of the Liberal Arts - Department of Economic
Downloads 101 (479,686)
Citation 2

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Asymptotic distribution, Autoregression, Conditional heteroskedasticity, Generalized least squares, Least squares

30.

Validity of Subsampling and 'Plug-In Asymptotic' Inference for Parameters Defined by Moment Inequalities

Cowles Foundation Discussion Paper No. 1620
Number of pages: 44 Posted: 05 Aug 2007
Donald W. K. Andrews and Patrik Guggenberger
Yale University - Cowles Foundation and Pennsylvania State University, College of the Liberal Arts - Department of Economic
Downloads 101 (479,686)
Citation 11

Abstract:

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Asymptotic size, Confidence set, Exact size, m out of n bootstrap, Subsampling, Moment inequalities

31.

Asymptotics for Stationary Very Nearly Unit Root Processes

Cowles Foundation Discussion Paper No. 1607
Number of pages: 9 Posted: 06 Mar 2007
Donald W. K. Andrews and Patrik Guggenberger
Yale University - Cowles Foundation and Pennsylvania State University, College of the Liberal Arts - Department of Economic
Downloads 92 (509,781)

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Asymptotics, Least squares, Nearly nonstationary, Stationary initial condition, Unit root

32.

Invalidity of the Bootstrap and the m Out of n Bootstrap for Interval Endpoints Defined by Moment Inequalities

Cowles Foundation Discussion Paper No. 1671
Number of pages: 36 Posted: 28 Jul 2008 Last Revised: 16 Sep 2008
Donald W. K. Andrews and Sukjin Han
Yale University - Cowles Foundation and University of Texas at Austin - Department of Economics
Downloads 87 (527,862)

Abstract:

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Bootstrap, Coverage probability, m out of n bootstrap, Moment inequality model, Partial identification, Subsampling

33.

Inference Based on Many Conditional Moment Inequalities

Downloads 74 (580,604)
Citation 9

Inference Based on Many Conditional Moment Inequalities

Cowles Foundation Discussion Paper No. 2010R
Number of pages: 82 Posted: 30 Apr 2016 Last Revised: 21 May 2016
Donald W. K. Andrews and Xiaoxia Shi
Yale University - Cowles Foundation and University of Wisconsin - Madison
Downloads 41 (784,121)
Citation 4

Abstract:

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Asymptotic size, Conditional moment inequalities, Confidence set, Many moments, Multiple equilibria, Partial identification, Random coefficients, Stochastic dominance, Test

Inference Based on Many Conditional Moment Inequalities

Cowles Foundation Discussion Paper No. 2010
Number of pages: 70 Posted: 14 Jul 2015
Donald W. K. Andrews and Xiaoxia Shi
Yale University - Cowles Foundation and University of Wisconsin - Madison
Downloads 33 (848,207)
Citation 2

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Asymptotic size, Conditional moment inequalities, Confidence set, Many moments, Multiple equilibria, Partial identification, Random coefficients, Stochastic dominance, Test

34.

Adaptive Local Polynomial Whittle Estimation of Long-Range Dependence

Number of pages: 51 Posted: 04 Nov 2002
Donald W. K. Andrews and Yixiao Sun
Yale University - Cowles Foundation and University of California, San Diego (UCSD) - Department of Economics
Downloads 69 (603,351)
Citation 4

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Adaptive Estimator, Asymptotic Bias, Asymptotic Normality, Bias Reduction, Local Polynomial, Long Memory, Minimax Rate, Optimal Bandwidth, Whittle Likelihood

35.

Asymptotic Size of Kleibergen's LM and Conditional LR Tests for Moment Condition Models

Cowles Foundation Discussion Paper No. 1977
Number of pages: 120 Posted: 24 Dec 2014 Last Revised: 05 Jan 2015
Donald W. K. Andrews and Patrik Guggenberger
Yale University - Cowles Foundation and Pennsylvania State University, College of the Liberal Arts - Department of Economic
Downloads 67 (612,536)
Citation 9

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Asymptotics, Conditional likelihood ratio test, Confidence set, Identification, Inference, Lagrange multiplier test, Moment conditions, Robust, Test, Weak identification, Weak instruments

36.

A Note on Optimal Inference in the Linear IV Model

Cowles Foundation Discussion Paper No. 2073
Number of pages: 100 Posted: 03 Feb 2017
Donald W. K. Andrews, Vadim Marmer and Zhengfei Yu
Yale University - Cowles Foundation, University of British Columbia (UBC) - Vancouver School of Economics and University of Tsukuba
Downloads 58 (658,660)
Citation 1

Abstract:

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Conditional likelihood ratio test, Con…dence interval, Infi…nite length, Linear instrumental variables, Optimal test, Weighted average power, Similar test

37.

On Optimal Inference in the Linear IV Model

Cowles Foundation Discussion Paper No. 2073R
Number of pages: 113 Posted: 02 Mar 2018
Donald W. K. Andrews, Vadim Marmer and Zhengfei Yu
Yale University - Cowles Foundation, University of British Columbia (UBC) - Vancouver School of Economics and University of Tsukuba
Downloads 42 (757,328)
Citation 2

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Conditional likelihood ratio test, Confidence interval, Infinite length, Linear instrumental variables, Optimal test, Weighted average power, Similar test

38.

Estimation of Polynomial Distributed Lags and Leads with End Point Constraints

NBER Working Paper No. t0079
Number of pages: 18 Posted: 09 Jan 2007 Last Revised: 22 Mar 2023
Donald W. K. Andrews and Ray C. Fair
Yale University - Cowles Foundation and Yale University - Cowles Foundation
Downloads 41 (764,383)

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39.

Higher-Order Improvements of a Computationally Attractive -Step Bootstrap for Extremum Estimators

Posted: 27 Jun 2002
Donald W. K. Andrews
Yale University - Cowles Foundation

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40.

Testing When a Parameter is on the Boundary of the Maintained Hypothesis

Posted: 16 Aug 2000
Donald W. K. Andrews
Yale University - Cowles Foundation

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41.

Consistent Model and Moment Selection Criteria for GMM Estimation with Application to Dynamic Panel Data Models

Working Paper No. 1233
Posted: 31 May 2000
Donald W. K. Andrews and Biao Lu
Yale University - Cowles Foundation and University of Michigan at Ann Arbor

Abstract:

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42.

Higher-Order Improvements of a Computationally Attractive K-Step Bootstrap for Extremum Estimators

Yale University Working Paper No. 1230
Posted: 26 Apr 2000
Donald W. K. Andrews
Yale University - Cowles Foundation

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43.

On the Number of Bootstrap Repetitions for Bootstrap Standard Errora, Confidence Intervals, and Tests

WP 1141R
Posted: 23 Jan 1998
Donald W. K. Andrews and Moshe Buchinsky
Yale University - Cowles Foundation and University of California, Los Angeles (UCLA) - Department of Economics

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