The age at which women become mothers for the first time is ever increasing in many industrialized countries. Therefore, fertility determinants that might deteriorate with age, such as health, and their effect on reproductive patterns, should be given more attention. We explore the effect of the...

In this paper, I discuss three aspects of the Frisch-Waugh-Lovell theorem. First, I show that the theorem holds for linear instrumental variables estimation of a multiple regression model that is either exactly or overidentified. I show that with linear instrumental variables estimation: (a)...

Multidimensional heterogeneity and endogeneity are important features of a wide class of econometric models. With control variables to correct for endogeneity, nonparametric identification of treatment effects requires strong support conditions. To alleviate this requirement, we consider varying...

We develop a practical way of addressing the Errors-In-Variables (EIV) problem in the Generalized Method of Moments (GMM) framework. We focus on the settings in which the variability of the EIV is a fraction of that of the mismeasured variables, which is typical for empirical applications. For...

When evaluating partial effects, it is important to distinguish between structural endogeneity and measurement errors. In contrast to linear models, these two sources of endogeneity affect partial effects differently in nonlinear models. We study this issue focusing on the Instrumental Variable...

This paper examines the effect of macroprudential policies on private domestic investment using a panel of 87 developing countries from 2000 to 2017. Our instrumental variables strategy exploits the geographic diffusion of macroprudential policies across countries, with the idea that reforms in...

We argue that measurement error in historical price data has led researchers to erroneously believe that there was little persistence of inflation during the 19th century. Using a statistical technique that accounts for these errors, we estimate the persistence of (a) US inflation and (b)...

Recent technological advances and policy initiatives present Africa with enormous growth potential from participating in global value chains (GVCs). However, the widening income inequality is raising questions as to whether participation in GVCs plays any role in this observed phenomenon....

A unified theory of estimation and inference is developed for an autoregressive process with root in (-∞, ∞) that includes the stationary, local-to-unity, explosive and all intermediate regions. The discontinuity of the limit distribution of the t-statistic outside the stationary region and...

Many nations have experienced both rising education levels and declining marriage rates. However, cross-sectional comparisons within countries often indicate that more highly educated individuals are more likely to be married. Economic theory suggests ambiguous causal effects of education on...

Accurate macroeconomic forecasts are essential for effective policy decisions, yet their precision depends on the accuracy of the underlying assumptions. This paper examines the extent to which assumption errors affect forecast accuracy, introducing the average squared assumption error (ASAE) as...

We study the estimation of causal treatment effects on demand when treatment is randomly assigned but prices adjust in response to treatment. We show that regressions of demand on treatment or on treatment and price lead to biased estimates of the direct treatment effect. The bias in both cases...

The age at which women become mothers for the first time is ever increasing in many industrialized countries. Therefore, fertility determinants that might deteriorate with age, such as health, and their effect on reproductive patterns, should be given more attention. We explore the effect of the...

This chapter synthesizes and critically reviews the modern instrumental variables (IV) literature that allows for unobserved heterogeneity in treatment effects (UHTE). We start by discussing why UHTE is often an essential aspect of IV applications in economics and we explain the conceptual...

Exploiting the age-at-enrollment policies in 16 German states as exogenous source of variation, I examine whether the schooling of the oldest child in a migrant household affects parents’ integration. My analysis links administrative records on primary school enrollment cutoff dates with micro...

Most research questions in agricultural and applied economics are of a causal nature, i.e., how one or more variables (e.g., policies, prices, the weather) affect one or more other variables (e.g., the welfare of individuals or the society, the demanded or produced quantity, pollution). Only a...

This study empirically tests time-varying asset pricing models in an emerging market with individual stocks. We employ a recently proposed instrumental variables (IV) technique that uses individual stocks as test assets while consistently estimating ex-post risk premiums. This method differs...

This paper proposes the use of Bayesian inference techniques to search for and obtain valid instruments in dynamic panel data models where endogenous variables may exist. The use of Principal Component Analysis (PCA) allows for obtaining a reduced number of instruments in comparison to the high...

The role of friends in the US opioid epidemic is examined. Using data from the National Longitudinal Survey of Adolescent Health (Add Health), adults aged 25-34 and their high school best friends are focused on. An instrumental variable technique is employed to estimate peer effects in opioid...

Regularized regression methods have attracted much attention in the literature, mainly due to its application in high-dimensional variable selection problems. Most existing regularization methods assume that the predictors are directly observed and precisely measured. It is well known that in a...

The issue of equality of opportunity is crucial in contemporary society, often examined in relation to income. Previous research has demonstrated the uncertain effect of income on mortality due to the presence of other factors. To empirically assess the difference in the effect of income on...

A recent econometric literature shows two distinct paths for identification with shift-share instruments, leveraging either many exogenous shifts or exogenous shares. We present the core logic of both paths and practical takeaways via simple checklists. A variety of empirical settings illustrate...

Multivalued treatments are commonplace in applications. We explore the use of discrete-valued instruments to control for selection bias in this setting. Our discussion revolves around the concept of targeting: which instruments target which treatments. It allows us to establish conditions under...

Farm income is a policy-relevant proxy for farm households' viability. Volatile income levels reduce the well-being of farmers and decrease their incentives to produce, invest, and innovate. This article provides a comprehensive analysis of the associations between agricultural subsidies, farm...

When in proxy-SVARs the covariance matrix of VAR disturbances is subject to exogenous, permanent, nonrecurring breaks that generate target impulse response functions (IRFs) that change across volatility regimes, even strong, exogenous external instruments can result in inconsistent estimates of...