In a model with endogenous regressors, heteroskedastic and autocorrelated (HAC) errors and weak instruments, tests that depend on the data only through the Anderson-Rubin (AR) and Lagrange Multiplier (LM) statistics ignore important information on the regression coefficients. This is in contrast...

Pharmaceutical firms typically enjoy market exclusivity for new drugs from concurrent protection of the underlying invention (through patents) and the clinical trials data submitted for market approval (through data exclusivity). Patent invalidation during drug development renders data...

We develop an asset pricing model with flexible heterogeneity in asset demand across investors, designed to match institutional and household holdings. A portfolio choice model implies characteristics-based demand when returns have a factor structure and expected returns and factor loadings...

This paper develops two instrumental variable (IV) estimators for dynamic panel data models with exogenous covariates and a multifactor error structure when both crosssectional and time series dimensions, N and T respectively, are large. Our approach initially projects out the common factors...

This paper is the first to rigorously test commonly cited simplistic theories of cryptocurrency pricing, namely, cost-based model and Metcalfe's law, using causal inferences from the instrumental variables approach on block-level data for six proof-of-work coins. Positive effects of hashrate and...

Given a binary treatment D, a response Y and covariates X, often X interacts with D in an unknown way to make the treatment effect heterogeneous. If D is exogenous, there are various semi-parametric approaches (matching, inverse probability weighting, etc.) to estimate a weighted average of the...

In this article, I develop a novel identification result for estimating the effect of an endogenous treatment using a proxy of an unobserved imperfect instrument. I show that the potential outcomes distributions are partially identified for the compliers. Therefore, I derive sharp bounds on the...

This paper considers the estimation of dynamic causal effects using external instruments and a structural vector-autoregressive model with possibly non-stationary regressors. We provide general conditions under which the asymptotic normal approximation remains valid. In this case, the asymptotic...

Two-year community colleges enroll nearly half of all first-time undergraduates, but to ambiguous effect: low persistence rates and the potential for diverting students from 4-year institutions cast ambiguity over 2-year colleges' contributions to upward mobility. Developing a new multivariate...

Given a binary treatment D, a response Y with its potential versions (Y⁰,Y¹) and covariates X, often D is endogenous. Unless Y is continuous, dealing with a binary endogenous D has been difficult even when an instrument δ is available. This paper shows that, for any form of Y (binary,...