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Exponent of Cross-Sectional Dependence: Estimation and Inference (replication...
This paper provides a characterisation of the degree of cross-sectional dependence in a two dimensional array, {xit,i = 1,2,...N;t = 1,2,...,T} in terms of the rate at which the... -
Factor-Based Identification-Robust Interference in IV Regressions (replicatio...
Robust methods for instrumental variable inference have received considerable attention recently. Their analysis has raised a variety of problematic issues such as size/power... -
Econometric Methods for Modelling Systems With a Mixture of<i>i</i>(1) and<i>...
This paper considers structural models with both I(1) and I(0) variables. The structural shocks associated with either set of variables could be permanent or transitory. We... -
Sequential Monte Carlo Methods for Estimating Dynamic Microeconomic Models (r...
This paper develops estimators for dynamic microeconomic models with serially correlated unobserved state variables using sequential Monte Carlo methods to estimate the... -
Lasso for Instrumental Variable Selection: A Replication Study (replication d...
Recently, Lasso methods have been applied to economic questions. In a seminal paper, Belloni et al. (Econometrica; 80(6): 2369-2429) make use of (post-)Lasso for instrumental...
