In data with a group structure, incidental parameters are included to control for missing variables. Applications include longitudinal data and sibling data. In general, the joint maximum likelihood estimator of the structural parameters is not consistent as the number of groups increases, with...

We examine the implications of arbitrage in a market with many assets. The absence of arbitrage opportunities implies that the linear functionals that give the mean and cost of a portfolio are continuous; hence there exist unique portfolios that represent these functionals. These portfolios span...

We consider linear predictor definitions of noncausality or strict exogeneity and show that it is restrictive to assert that there exists a time-invariant latent variable c such that x is strictly exogenous conditional on c. A restriction of this sort is necessary to justify standard techniques...

Many empirical studies use Fuzzy Regression Discontinuity (FRD) designs to identify treatment effects when the receipt of treatment is potentially correlated to outcomes. Existing FRD methods identify the local average treatment effect (LATE) on the subpopulation of compliers with values of the...

The statistical and econometrics literature on causality is more focused on "effects of causes" than on "causes of effects." That is, in the standard approach it is natural to study the effect of a treatment, but it is not in general possible to define the causes of any particular outcome. This...

When a researcher estimates the parameters of a regression function using information on all 50 states in the United States, or information on all visits to a website, what is the interpretation of the standard errors? Researchers typically report standard errors that are designed to capture...

In this paper we discuss the properties of confidence intervals for regression parameters based on robust standard errors. We discuss the motivation for a modification suggested by Bell and McCaffrey (2002) to improve the finite sample properties of the confidence intervals based on the...

There is a large theoretical literature on methods for estimating causal effects under unconfoundedness, exogeneity, or selection--on--observables type assumptions using matching or propensity score methods. Much of this literature is highly technical and has not made inroads into empirical...

I review recent work in the statistics literature on instrumental variables methods from an econometrics perspective. I discuss some of the older, economic, applications including supply and demand models and relate them to the recent applications in settings of randomized experiments with...

It is common in regression discontinuity analysis to control for high order (third, fourth, or higher) polynomials of the forcing variable. We argue that estimators for causal effects based on such methods can be misleading, and we recommend researchers do not use them, and instead use...