We give two new approaches to testing a conditional form of exogeneity. This conditionensures unconfoundedness and identication of eects of interest in structural systems. Asthese approaches do not rely on the absence of causal eects of treatment under the null,they complement earlier methods of...

I expose the risk of false discoveries in the context of multiple treatment effects. A false discovery is a nonexistent effect that is falsely labeled as statistically significant by its individual t-value. Labeling nonexistent effects as statistically significant has wide-ranging academic and...

In various economic environments, people observe other people with whom they strategically interact. We can model such information-sharing relations as an information network, and the strategic interactions as a game on the network. When any two agents in the network are connected either...

This study examines the performance of acquisitions in the Real Estate Investment Trust (REIT) industry around the acquisition announcement and in the long-run. The results suggest that the acquiring REITs experience statistically significant negative abnormal returns while the target REITs earn...

The multiple testing problem plagues many important issues in finance such as fund and factor selection. Many look good purely by luck. There are a number of statistical techniques to control for multiplicity that reduce Type I errors - but it is unknown by how much. We propose a new way to...

Identifying the factors that drive the cross-section of expected returns is challenging for at least three reasons. First, the choice of testing approach (time-series versus cross-sectional) will deliver different sets of factors. Second, varying test portfolio sorts changes the importance of...

This paper introduces a new concept of stochastic dependence among many random variables which we call conditional neighborhood dependence (CND). Suppose that there are a set of random variables and a set of sigma algebras where both sets are indexed by the same set endowed with a neighborhood...

This paper studies robustness of bootstrap inference methods for instrumental variable regression models. In particular, we compare the uniform weight and implied probability bootstrap approximations for parameter hypothesis test statistics by applying the breakdown point theory, which focuses...

Large-scale inference has become increasingly popular in financial economics. I explore an empirical Bayes approach to large-scale multiple testing. The proposed approach bases its inference on the posterior probability that the null is true given the observed data. It provides a convenient way...

Spatial modeling is one of the growing areas of research in economics in recent years. However, these models are not tested enough. Even if tests are performed, they are done in a piece-wise fashion. Another age-long problem in economic modeling is endogeneity of one or more variables....