Many economic panel and dynamic models, such as rational behavior and Euler equations, imply that the parameters of interest are identified by conditional moment restrictions. We introduce a novel inference method without any prior information about which conditioning instruments are weak or...

Many economic panel and dynamic models, such as rational behavior and Euler equations, imply that the parameters of interest are identified by conditional moment restrictions. We introduce a novel inference method without any prior information about which conditioning instruments are weak or...

Instrumental variables (IV) are often used to provide exogenous variation in the impulse response analysis but the heterogeneous effects the IV may identify are rarely discussed. In microeconometrics, on the other hand, it is well understood that an IV identifies the local average treatment...

While applications of big data analytics have brought many new opportunities to economic research, with datasets containing tens of millions of observations, making usual econometric inferences based on extreme estimators would require huge computing powers and memories that are often not...