← All authors Donald W. K. Andrews Yale University (from arXiv:2602.09382, 2026) · OpenAlex
92 papers in scope · 91 published · 2 on the econ.EM arXiv · 29,499 citations · h-index 50 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Yapeng Zheng Stefan Richter Sayar Karmakar Ming Li Wei Biao Wu Kejin Wu Marek Chudý Timo Teräsvirta Niklas Ahlgren Alexander Back Wayne Yuan Gao Joseph Marshall George Kapetanios Sheng Xu Yi Niu Ming Li Zhengyan Xu Likai Chen Zhongjian Lin Georg Keilbar Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (2 of 92)
working paper 2026 · arXiv
published 2025 · Quantitative Economics · 1 citations · first circulated 2024
GUEST EDITORS’ INTRODUCTION PART ONE: SPECIAL DUAL ISSUE OF ECONOMETRIC THEORY ON YALE 2018 CONFERENCE IN HONOR OF PETER C. B. PHILLIPS
published 2022 · Econometric Theory
Generic results for establishing the asymptotic size of confidence sets and tests
published 2020 · Journal of Econometrics · 59 citations · first circulated 2011
On optimal inference in the linear IV model
published 2019 · Quantitative Economics · 17 citations · first circulated 2016
Identification‐ and singularity‐robust inference for moment condition models
published 2019 · Quantitative Economics · 19 citations · first circulated 2015
Examples of L 2 -complete and boundedly-complete distributions
published 2017 · Journal of Econometrics · 63 citations · first circulated 2011
Commands for Testing Conditional Moment Inequalities and Equalities
published 2017 · The Stata Journal Promoting communications on statistics and Stata · 13 citations
with Wooyoung Kim, Xiaoxia Shi
Nonparametric inference based on conditional moment inequalities
published 2016 · Journal of Econometrics · 171 citations · first circulated 2010
with Xiaoxia Shi
ASYMPTOTIC SIZE OF KLEIBERGEN’S LM AND CONDITIONAL LR TESTS FOR MOMENT CONDITION MODELS
published 2016 · Econometric Theory · 24 citations · first circulated 2014
GMM ESTIMATION AND UNIFORM SUBVECTOR INFERENCE WITH POSSIBLE IDENTIFICATION FAILURE
published 2013 · Econometric Theory · 29 citations · first circulated 2011
A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter
published 2013 · The Review of Economics and Statistics · 25 citations · first circulated 2011
Maximum likelihood estimation and uniform inference with sporadic identification failure
published 2012 · Journal of Econometrics · 39 citations · first circulated 2011
Asymptotics for LS, GLS, and feasible GLS statistics in an AR(1) model with conditional heteroskedasticity
published 2012 · Journal of Econometrics · 21 citations · first circulated 2008
Estimation and Inference With Weak, Semi-Strong, and Strong Identification
published 2012 · Econometrica · 203 citations · first circulated 2010
Inference for Parameters Defined by Moment Inequalities: A Recommended Moment Selection Procedure
published 2012 · Econometrica · 149 citations · first circulated 2008
with Panle Jia Barwick, Panle Jia
Applications of subsampling, hybrid, and size-correction methods
published 2010 · Journal of Econometrics · 13 citations
Inference for Parameters Defined by Moment Inequalities Using Generalized Moment Selection
published 2010 · Econometrica · 480 citations · first circulated 2007
with Gustavo Soares
ASYMPTOTIC SIZE AND A PROBLEM WITH SUBSAMPLING AND WITH THE m OUT OF n BOOTSTRAP
published 2009 · Econometric Theory · 149 citations
Incorrect asymptotic size of subsampling procedures based on post-consistent model selection estimators
published 2009 · Journal of Econometrics · 36 citations
VALIDITY OF SUBSAMPLING AND “PLUG-IN ASYMPTOTIC” INFERENCE FOR PARAMETERS DEFINED BY MOMENT INEQUALITIES
published 2009 · Econometric Theory · 35 citations
Invalidity of the bootstrap and the m out of n bootstrap for confidence interval endpoints defined by moment inequalities
published 2009 · Econometrics Journal · 24 citations · first circulated 2008
Efficient two-sided nonsimilar invariant tests in IV regression with weak instruments
published 2008 · Journal of Econometrics · 49 citations
Asymptotics for stationary very nearly unit root processes
published 2007 · Journal of Time Series Analysis · 7 citations
RANK TESTS FOR INSTRUMENTAL VARIABLES REGRESSION WITH WEAK INSTRUMENTS
published 2007 · Econometric Theory · 4 citations
with Gustavo Soares
Exactly distribution-free inference in instrumental variables regression with possibly weak instruments
published 2007 · Journal of Econometrics · 9 citations
Tests for Cointegration Breakdown Over a Short Time Period
published 2006 · Journal of Business and Economic Statistics · 78 citations
with Jae-Young Kim
Performance of conditional Wald tests in IV regression with weak instruments
published 2006 · Journal of Econometrics · 104 citations
Testing with many weak instruments
published 2006 · Journal of Econometrics · 78 citations
with James H. Stock
Optimal Two-Sided Invariant Similar Tests for Instrumental Variables Regression
published 2006 · Econometrica · 316 citations
Higher-order improvements of the parametric bootstrap for long-memory Gaussian processes
published 2005 · Journal of Econometrics · 44 citations · first circulated 2002
Cross-Section Regression with Common Shocks
published 2005 · Econometrica · 379 citations · first circulated 2003
VALID EDGEWORTH EXPANSIONS FOR THE WHITTLE MAXIMUM LIKELIHOOD ESTIMATOR FOR STATIONARY LONG-MEMORY GAUSSIAN TIME SERIES
published 2005 · Econometric Theory · 3 citations
with Offer Lieberman
the Block-Block Bootstrap: Improved Asymptotic Refinements
published 2004 · Econometrica · 10 citations
Adaptive Local Polynomial Whittle Estimation of Long-range Dependence
published 2004 · Econometrica · 135 citations · first circulated 2001
End-of-Sample Instability Tests
published 2003 · Econometrica · 11 citations
A Bias-Reduced Log-Periodogram Regression Estimator for the Long-Memory Parameter
published 2003 · Econometrica · 159 citations · first circulated 2000
Generalized Method of Moments Estimation When a Parameter Is on a Boundary
published 2002 · Journal of Business and Economic Statistics · 50 citations
EQUIVALENCE OF THE HIGHER ORDER ASYMPTOTIC EFFICIENCY OF k -STEP AND EXTREMUM STATISTICS
published 2002 · Econometric Theory · 20 citations · first circulated 2000
ON THE NUMBER OF BOOTSTRAP REPETITIONS FOR BC a CONFIDENCE INTERVALS
published 2002 · Econometric Theory · 48 citations · first circulated 2000
with Moshe Buchinsky
Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis
published 2002 · Journal of Business and Economic Statistics · 5761 citations · first circulated 1992
Higher-Order Improvements of a Computationally Attractive k-Step Bootstrap for Extremum Estimators
published 2002 · Econometrica · 236 citations · first circulated 1999
Testing When a Parameter is on the Boundary of the Maintained Hypothesis
published 2001 · Econometrica · 426 citations · first circulated 1999
Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models
published 2001 · Journal of Econometrics · 981 citations · first circulated 1999
with Biao Lu
Inconsistency of the Bootstrap when a Parameter is on the Boundary of the Parameter Space
published 2000 · Econometrica · 361 citations
Evaluation of a three-step method for choosing the number of bootstrap repetitions
published 2000 · Econometrica · 311 citations
with Moshe Buchinsky
Estimation When a Parameter is on a Boundary
published 1999 · Econometrica · 381 citations · first circulated 1997
Consistent Moment Selection Procedures for Generalized Method of Moments Estimation
published 1999 · Econometrica · 336 citations · first circulated 1997
Tests for white noise against alternatives with both seasonal and nonseasonal serial correlation
published 1998 · Biometrika · 10 citations
Semiparametric Estimation of the Intercept of a Sample Selection Model
published 1998 · The Review of Economic Studies · 234 citations · first circulated 1996
Hypothesis testing with a restricted parameter space
published 1998 · Journal of Econometrics · 62 citations · first circulated 1994
A Conditional Kolmogorov Test
published 1997 · Econometrica · 258 citations · first circulated 1996
A Stopping Rule for the Computation of Generalized Method of Moments Estimators
published 1997 · Econometrica · 31 citations · first circulated 1996
Testing for Serial Correlation Against an ARMA(1, 1,) Process
published 1996 · Journal of the American Statistical Association · 74 citations
with Werner Ploberger
Admissibility of the Likelihood Ratio Test when the Parameter Space is Restricted under the Alternative
published 1996 · Econometrica · 23 citations
Optimal changepoint tests for normal linear regression
published 1996 · Journal of Econometrics · 310 citations · first circulated 1992
with Inpyo Lee, Werner Ploberger
Admissibility of the Likelihood Ratio Test When a Nuisance Parameter is Present Only Under the Alternative
published 1995 · The Annals of Statistics · 86 citations · first circulated 1993
with Werner Ploberger
Nonlinear Econometric Models with Deterministically Trending Variables
published 1995 · The Review of Economic Studies · 79 citations · first circulated 1993
with C. John McDermott, Christopher McDermott
Nonparametric Kernel Estimation for Semiparametric Models
published 1995 · Econometric Theory · 233 citations · first circulated 1989
Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
published 1994 · Econometrica · 2516 citations · first circulated 1992
with Werner Ploberger
The Large Sample Correspondence between Classical Hypothesis Tests and Bayesian Posterior Odds Tests
published 1994 · Econometrica · 31 citations · first circulated 1992
Approximately Median-Unbiased Estimation of Autoregressive Models
published 1994 · Journal of Business and Economic Statistics · 429 citations · first circulated 1992
with Hongyuan Chen
An Introduction to Functional Central Limit Theorems for Dependent Stochastic Processes
published 1994 · International Statistical Review · 130 citations
with David Pollard
Asymptotics for Semiparametric Econometric Models Via Stochastic Equicontinuity
published 1994 · Econometrica · 305 citations
Tests for Parameter Instability and Structural Change with Unknown Change Point: A Corrigendum
published 1993 · Econometrica · 4356 citations · first circulated 1990
Tests of specification for parametric and semiparametric models
published 1993 · Journal of Econometrics · 88 citations · first circulated 1991
Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models
published 1993 · Econometrica · 488 citations · first circulated 1991
An introduction to econometric applications of empirical process theory for dependent random variables
published 1993 · Econometric Reviews · 49 citations
An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
published 1992 · Econometrica · 1132 citations · first circulated 1990
with J. Christopher Monahan, Christopher Monahan
Estimation of polynomial distributed lags and leads with end point constraints
published 1992 · Journal of Econometrics · 9 citations · first circulated 1989
with Ray C. Fair
Generic Uniform Convergence
published 1992 · Econometric Theory · 310 citations · first circulated 1990
An empirical process central limit theorem for dependent non-identically distributed random variables
published 1991 · Journal of Multivariate Analysis · 41 citations · first circulated 1989
Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
published 1991 · Econometrica · 4164 citations · first circulated 1988
Asymptotic Normality of Series Estimators for Nonparametric and Semiparametric Regression Models
published 1991 · Econometrica · 332 citations · first circulated 1988
Asymptotic optimality of generalized C, cross-validation, and generalized cross-validation in regression with heteroskedastic errors
published 1991 · Journal of Econometrics · 136 citations · first circulated 1989
Comment
published 1991 · Econometric Reviews
Additive Interactive Regression Models: Circumvention of the Curse of Dimensionality
published 1990 · Econometric Theory · 93 citations · first circulated 1989
Power in Econometric Applications
published 1989 · Econometrica · 69 citations · first circulated 1986
A Unified Theory of Estimation and Inference for Nonlinear Dynamic ModelsA.R. Gallant and H. White
published 1989 · Econometric Theory · 5 citations
Laws of Large Numbers for Dependent Non-Identically Distributed Random Variables
published 1988 · Econometric Theory · 312 citations · first circulated 1987
Inference in Nonlinear Econometric Models with Structural Change
published 1988 · The Review of Economic Studies · 209 citations
with Ray C. Fair
Chi-Square Diagnostic Tests for Econometric Models: Theory
published 1988 · Journal of Econometrics · 180 citations · first circulated 1985
Consistency in Nonlinear Econometric Models: A Generic Uniform Law of Large Numbers
published 1987 · Econometrica · 252 citations · first circulated 1986
Best Median-Unbiased Estimation in Linear Regression with Bounded Asymmetric Loss Functions
published 1987 · Journal of the American Statistical Association · 16 citations
Asymptotic Results for Generalized Wald Tests
published 1987 · Econometric Theory · 144 citations · first circulated 1986
Least Squares Regression with Integrated or Dynamic Regressors under Weak Error Assumptions
published 1987 · Econometric Theory · 13 citations
Stability Comparison of Estimators
published 1986 · Econometrica · 7 citations
A Note on the Unbiasedness of Feasible GLS, Quasi-Maximum Likelihood, Robust, Adaptive, and Spectral Estimators of the Linear Model
published 1986 · Econometrica · 25 citations · first circulated 1985
Complete Consistency: A Testing Analogue of Estimator Consistency
published 1986 · The Review of Economic Studies · 8 citations
A nearly independent, but non-strong mixing, triangular array
published 1985 · Journal of Applied Probability · 15 citations
A Zero-One Result for the Least Squares Estimator
published 1985 · Econometric Theory · 10 citations · first circulated 1984
Non-strong mixing autoregressive processes
published 1984 · Journal of Applied Probability · 358 citations
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