Many studies in economics use instruments or treatments which combine a set of exogenous shocks with other predetermined variables by a known formula. Examples include shift-share instruments and measures of social or spatial spillovers. We review recent econometric tools for this setting, which...

Identification based on higher moments has drawn increasing theoretical attention and been widely adopted in empirical practice in macroeconometrics in the last two decades. This article reviews two parallel strands of the literature: identification strategies based on heteroskedasticity and...

This paper considers nonparametric identification and estimation of the regression function when a covariate is mismeasured. The measurement error need not be classical. Employing the small measurement error approximation, we establish nonparametric identification under weak and...

Given data on a scalar random variable 𝑌, a prediction set for 𝑌 with miscoverage level 𝛼 is a set of values for 𝑌 that contains a randomly drawn 𝑌 with probability 1 - 𝛼, where 𝛼 ∈ (0, 1). Among all prediction sets that satisfy this coverage property, the oracle...

In the presence of selection bias, traditional estimators of pseudo panel data are inconsistent. In this paper, the authors derive the conditions under which consistence is achieved in pseudo-panel estimation and propose a simple test of selection bias. Specifically, they propose a Wald test for...

The authors address the issue of estimation and inference in dependent non-stationary panels of small cross-section dimensions. The main conclusion is that the best results are obtained applying bootstrap inference to single-equation estimators, such as fully modified ordinary least squares and...

Due to their well-known indeterminacies, factor models require identifying assumptions to guarantee unique parameter estimates. For Bayesian estimation, these identifying assumptions are usually implemented by imposing constraints on certain model parameters. This strategy, however, may result...

In small samples and especially in the case of small true default probabilities, standard approaches to credit default probability estimation have certain drawbacks. Most importantly, standard estimators tend to underestimate the true default probability which is of course an undesirable...