This paper considers the finite sample distribution of the 2SLS estimator and derives bounds on its exact bias in the presence of weak and/or many instruments. We then contrast the behavior of the exact bias expressions and the asymptotic expansions currently popular in the literature, including...

Big Data stellt Unternehmen vor die Herausforderung, Daten zur Weiterentwicklung des Geschäftsmodells zu verwenden und dabei auf modernste ökonomische und statistische Methoden zu setzen. Damit Unternehmensentscheidungen langfristig zum Geschäftserfolg beitragen, kommt der Kausalität eine...

The partial (ceteris paribus) effects of interest in nonlinear and interactive linear models are heterogeneous as they can vary dramatically with the underlying observed or unobserved covariates. Despite the apparent importance of heterogeneity, a common practice in modern empirical work is to...

In the recent years more and more highdimensional data sets, where the number of parameters p is high compared to the number of observations n or even larger, are available for applied researchers. Boosting algorithms represent one of the major advances in machine learning and statistics in...

An expansion in mortgage credit to subprime borrowers is widely believed to have been a principal driver of the 2002-06 U.S. house price boom. Contrary to this belief, we show that the house price and subprime booms occurred in different places. Counties with the largest home price appreciation...

In March 2020, massive customer selling of U.S. Treasury securities and agency mortgage-backed securities (MBS) triggered by the COVID-19 pandemic overwhelmed dealers' capacity to intermediate trades, contributing to a marked deterioration of market functioning. The Federal Reserve promptly took...

Agency mortgage backed securities (MBS) with diverse characteristics are traded in parallel with individualized contracts in the specified pool (SP) market and with standardized contracts in the to-be-announced (TBA) market. We find that this unique parallel trading environment significantly...

We examine the economic mechanisms that limited arbitrage between the cash and forward markets of agency MBS, and whether asset purchases of the Federal Reserve (Fed) alleviated price dislocations. We find that the cash-forward basis, or the price difference between the cash and forward markets...

Agency mortgage-backed securities (MBS) issued by Fannie Mae and Freddie Mac have historically traded in separate forward markets. We study the consequences of this fragmentation, showing that market liquidity endogenously concentrated in Fannie Mae MBS, leading to higher issuance and trading...

Current methods of estimating the random coefficients logit model employ simulations of the distribution of the taste parameters through pseudo-random sequences. These methods suffer from difficulties in estimating correlations between parameters and computational limitations such as the curse...