This paper proposes asymptotically unbiased estimators of autocovariances and autocorrelations for panel data with both individual and time effects. We show that the conventional autocovariance estimators suffers from the bias caused by the elimination of individual and time effects. The bias...

We demonstrate theoretically and empirically the presence of forbearance lending by profit-maximizing banks to influential buyers in a supply network. If the financial market is concentrated, then banks can internalize the negative externality of an influential firm's exit. As a result, they may...

This paper considers specification testing for instrumental variables estimation in the presence of many instruments. The test proposed is a modified version of the Sargan (1958, Econometrica 26(3): 393-415) test of overidentifying restrictions. The test statistic asymptotically follows the...

This paper proposes nonparametric kernel-smoothing estimation for panel data to examine the degree of heterogeneity across cross-sectional units. We first estimate the sample mean, autocovariances, and autocorrelations for each unit and then apply kernel smoothing to compute their density...

We propose an econometric procedure to test for the presence of overconfidence using data collected by ranking experiments. Our approach applies the techniques from the moment inequality literature. Although a ranking experiment is a typical way to collect data for the analysis of...

We develop new procedures to quantify the statistical uncertainty of data-driven clustering algorithms. In our panel setting, each unit belongs to one of a finite number of latent groups with group-specific regression curves. We propose methods for computing unit-wise and joint confidence sets...