The asymptotic distribution of the linear instrumental variables (IV) estimator with empirically selected ridge regression penalty is characterized. The regularization tuning parameter is selected by splitting the observed data into training and test samples and becomes an estimated parameter...

Recent research underscores the sensitivity of conclusions drawn from the application of econometric methods devised for quantitative outcome variables to data featuring ordinal outcomes. The issue is particularly acute in the analysis of happiness data, for which no natural cardinal scale...

This paper deals with identification and inference on the unobservable conditional factor space and its dimension in large unbalanced panels of asset returns. The model specification is nonparametric regarding the way the loadings vary in time as functions of common shocks and individual...

Chicken meat consumption has increased substantially in the last decades due to farming and processing intensification and due to perceived health and environmental benefits for consumers. Organic chicken additionally, is perceived to have better taste, lead to higher animal welfare and...

This paper re-examines the instrumental variable (IV) approach to estimating returns to education by use of compulsory school law (CSL) in the US. We show that the IV-approach amounts to a change in model specification by changing the causal status of the variable of interest. From this...

We estimate the effect of BMI on mental health for young adults and elderly individuals using data from the National Longitudinal Study of Adolescent Health and the Health & Retirement Study. To tackle confounding due to unobserved factors, we exploit variation in a polygenic score (PGS) for BMI...