Econometrics

Comment: Weak Instrument Robust Tests in GMM and the New Keynesian Phillips Curve

Journal of Business and Economic Statistics, July 2009, 27(3): 326–328.

American Statistical Association | PDF file

Measuring Business Cycles: A Wavelet Analysis of Economic Time Series

Economics Letters, August 2008, 100(2): 208–212.

Elsevier | SSRN | Replication files

Asymptotic Properties of the Hahn-Hausman Test for Weak Instruments (with Jerry Hausman and James H. Stock)

Economics Letters, December 2005, 89(3): 333–342.

Elsevier | SSRN

Testing for Weak Instruments in Linear IV Regression (with James H. Stock)

Identification and Inference for Econometric Models: Essays in Honor of Thomas Rothenberg, edited by Donald W.K. Andrews and James H. Stock, Cambridge: Cambridge University Press, 2005, chapter 5, 80–108.

Cambridge University Press | PDF file | Replication files

• Critical values for the weak instruments test [Excel]

Asymptotic Distributions of Instrumental Variables Statistics with Many Instruments (with James H. Stock)

Identification and Inference for Econometric Models: Essays in Honor of Thomas Rothenberg, edited by Donald W. K. Andrews and James H. Stock, Cambridge: Cambridge University Press, 2005, chapter 6, 109–120.

Cambridge University Press | PDF file

Estimating the Elasticity of Intertemporal Substitution When Instruments Are Weak

Review of Economics and Statistics, August 2004, 86(3): 797–810.

MIT Press | PDF file | Data | Replication files

A Survey of Weak Instruments and Weak Identification in Generalized Method of Moments (with James H. Stock and Jonathan H. Wright)

Journal of Business and Economic Statistics, October 2002, 20(4): 518–529.

American Statistical Association | PDF file