ANDREWS, DONALD W. K., LIU, XUEMEI, PLOBERGER, WERNER
This paper considers tests for seasonal and nonseasonal serial correlation in time series and in the errors of regression models. The problem of testing for white noise against multiplicative...
University Microfilms order no. 83-12742.
Asymptotic Normality of Series Estimators for Nonparametric and Semiparametric Regression Models.
This paper establishes the asymptotic normality of series estimators for nonparametric regression models. Gallant's Fourier flexible form estimators, trigonometric series estimators, and polynomial...
Estimation of Polynomial Distributed Lags and Leads with End Point Constraints
Andrews, Donald W.K., Fair, Ray C.
This paper considers the use of the Polynomial Distributed Lag (PDL) technique when the lag length is estimated rather than fixed. We focus on the case where the degree of the polynomial is fixed,...
ON THE NUMBER OF BOOTSTRAP REPETITIONS FOR BCa CONFIDENCE INTERVALS
Andrews, Donald W.K., Buchinsky, Moshe
This paper considers the problem of choosing the number of bootstrap repetitions B to use with the BCa bootstrap confidence intervals introduced by Efron (1987, Journal of the American Statistical...
EQUIVALENCE OF THE HIGHER ORDER ASYMPTOTIC EFFICIENCY OF k-STEP AND EXTREMUM STATISTICS
It is well known that a one-step scoring estimator that starts from any N1/2-consistent estimator has the same first-order asymptotic efficiency as the maximum likelihood estimator. This paper...
Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models.
First-order autoregressive/unit root models with independent identically distributed normal errors are considered, including those without an intercept, those with an intercept, and those with an...
Power in Econometric Applications.
This paper is concerned with the use of power properties of tests in econometric applications. Inverse power functions are defined. These functions are designed to yield summary measures of power...
Andrews, Donald W.K., Lieberman, Offer
In this paper, we prove the validity of an Edgeworth expansion to the distribution of the Whittle maximum likelihood estimator for stationary long-memory Gaussian models with unknown parameter . The...
RANK TESTS FOR INSTRUMENTAL VARIABLES REGRESSION WITH WEAK INSTRUMENTS
Andrews, Donald W.K., Soares, Gustavo
This paper considers tests in an instrumental variable (IVs) regression model with IVs that may be weak. Tests that have near-optimal asymptotic power properties with Gaussian errors for weak and...
Semiparametric Estimation of the Intercept of a Sample Selection Model.
Andrews, Donald W K, Schafgans, Marcia M A
This paper provides a consistent and asymptotically normal estimator for the intercept of a semiparametrically estimated sample selection model. The estimator uses a decreasingly small fraction of...
Nonlinear Econometric Models with Deterministically Trending Variables.
Andrews, Donald W K, McDermott, C John
This paper considers an alternative asymptotic framework to standard sequential asymptotics for nonlinear models with deterministically trending variables. The asymptotic distributions of generalized...
Inference in Nonlinear Econometric Models with Structural Change.
Andrews, Donald W K, Fair, Ray C
This paper extends the classical test for structural change in line ar regression models (see Chow\1960\) to a wide variety of nonlinear models, estimated by a variety of different procedures. Wald,...
Testing When a Parameter Is on the Boundary of the Maintained Hypothesis.
This paper considers testing problems where several of the standard regularity conditions fail to hold. We consider the case where (i) parameter vectors in the null hypothesis may lie on the boundary...
This paper establishes a correspondence in large samples between classical hypothesis tests and Bayesian posterior odds tests for models without trends. More specifically, tests of point null...
Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative.
Andrews, Donald W K, Ploberger, Werner
This paper derives asymptotically optimal tests for testing problems in which a nuisance parameter exists under the alternative hypothesis but not under the null. For example, the results apply to...
Asymptotics for Semiparametric Econometric Models via Stochastic Equicontinuity.
This paper provides a general framework for proving the "square root of" T-consistency and asymptotic normality of a wide variety of semiparametric estimators. The class of estimators considered...
Tests for Parameter Instability and Structural Change with Unknown Change Point.
This paper considers tests for parameter instability and structural change with unknown change point. The results apply to a wide class of parametric models that are suitable for estimation by...
Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation.
This paper is concerned with the estimation of covariance matrices in the presence of heteroskedasticity and autocorrelation of unknown forms. Currently available estimators that are designed for...
Chi-Square Diagnostic Tests for Econometric Models: Theory.
This paper extends the Pearson chi-square testing method to nondynam ic parametric econometric models, in particular, to models with covar iates. The paper establishes the asymptotic distribution of...
Empirical process methods in econometrics
Andrews, Donald W.K., R. F. Engle, D. McFadden
This paper provides an introduction to the use of empirical process methods in econometrics. These methods can be used to establish the large sample properties of econometric estimators and test...
Generalized Method of Moments Estimation When a Parameter Is on a Boundary.
This article establishes the asymptotic distributions of generalized method of moments (GMM) estimators when the true parameter lies on the boundary of the parameter space. The conditions allow the...
Approximately Median-Unbiased Estimation of Autoregressive Models.
Andrews, Donald W K, Chen, Hong-Yuan
This paper introduces approximately median-unbiased estimators and confidence intervals for univariate AR(p) models with time trends. The methods are applied to the Nelson-Plosser macroeconomic data...
Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis.
Zivot, Eric, Andrews, Donald W K
Perron (1989) has carried out tests of the unit root hypothesis against the alternative hypothesis of trend stationarity with a break in the trend occurring at the Great Crash of 1929 or at the 1973...
ON THE NUMBER OF BOOTSTRAP REPETITIONS FOR BCa CONFIDENCE INTERVALS
Andrews, Donald W.K., Buchinsky, Moshe
This paper considers the problem of choosing the number of bootstrap repetitions B to use with the BCa bootstrap confidence intervals introduced by Efron (1987, Journal of the American Statistical...
EQUIVALENCE OF THE HIGHER ORDER ASYMPTOTIC EFFICIENCY OF k-STEP AND EXTREMUM STATISTICS
It is well known that a one-step scoring estimator that starts from any N1/2-consistent estimator has the same first-order asymptotic efficiency as the maximum likelihood estimator. This paper...
Andrews, Donald W.K., Lieberman, Offer
In this paper, we prove the validity of an Edgeworth expansion to the distribution of the Whittle maximum likelihood estimator for stationary long-memory Gaussian models with unknown parameter . The...
This paper establishes a central limit theorem (CLT) for empirical processes indexed by smooth functions. The underlying random variables may be temporally dependent and non-identically distributed....
RANK TESTS FOR INSTRUMENTAL VARIABLES REGRESSION WITH WEAK INSTRUMENTS
Andrews, Donald W.K., Soares, Gustavo
This paper considers tests in an instrumental variable (IVs) regression model with IVs that may be weak. Tests that have near-optimal asymptotic power properties with Gaussian errors for weak and...
Efficient two-sided nonsimilar invariant tests in IV regression with weak instruments
Andrews, Donald W.K., Moreira, Marcelo J., Stock, James H.
As Nelson and Startz [Nelson, C.R., Startz, R., 1990a. The distribution of the instrumental variable estimator and its t ratio when the instrument is a poor one. Journal of Business 63, S125-S140;...
Least Squares Regression with Integrated or Dynamic Regressors under Weak Error Assumptions
This paper establishes consistency of least squares estimators in (i) a multiple regression model with integrated regressors and explosive, non-mixing errors, and (ii) a dynamic linear regression...
Asymptotic Results for Generalized Wald Tests
This paper presents conditions under which a quadratic form based on a g-inverted weighting matrix converges to a chi-square distribution as the sample size goes to infinity. Subject to fairly weak...
Additive Interactive Regression Models: Circumvention of the Curse of Dimensionality
Andrews, Donald W.K., Whang, Yoon-Jae
This paper considers series estimators of additive interactive regression (AIR) models. AIR models are nonparametric regression models that generalize additive regression models by allowing...
Nonparametric Kernel Estimation for Semiparametric Models
This paper presents a number of consistency results for nonparametric kernel estimators of density and regression functions and their derivatives. These results are particularly useful in...
Andrews, Donald W.K., Guggenberger, Patrik
This paper considers inference for parameters defined by moment inequalities and equalities. The parameters need not be identified. For a specified class of test statistics, this paper establishes...
Identification and Inference for Econometric Models
Andrews,Donald W. K., Stock,James H.
This volume contains the papers presented in honor of the lifelong achievements of Thomas J. Rothenberg on the occasion of his retirement. The authors of the chapters include many of the leading...
Andrews, Donald W.K., Guggenberger, Patrik
Subsampling and the m out of n bootstrap have been suggested in the literature as methods for carrying out inference based on post-model selection estimators and shrinkage estimators. In this paper...