Weak Identification with Many Instruments
with Liyang Sun, slides
Econometrics Journal, Forthcoming
Publications
Isaiah Andrews, 2021 John Bates Clark Medalist
with Jesse M. Shapiro
Journal of Economic Perspectives, 2022, vol. 36(1), pp. 177-90
Inference with Many Weak Instruments
with Liyang Sun
Review of Economic Studies, 2022, 89 (5), pp.2663-2686
Supplementary Appendix
Optimal Decision Rules for Weak GMM
with Isaiah Andrews
Econometrica, 2022, Vol 90(2), pp. 715-48
Factor model with many assets: strong factors, weak factors and two-pass procedure
with Stanislav Anatolyev
Journal of Econometrics, 2022, 229 (1), pp. 103-126
Supplemental Appendix
Limit Theorems for Factor Models
with Stanislav Anatolyev
Econometric Theory, 2021, 37(5), pp. 1034-74
Conditional Inference with Functional Nuisance Parameter
with Isaiah Andrews
Econometrica, 2016, 84(4), pp. 1571-1612
Supplementary Appendix
A Geometric Approach to Nonlinear Econometric Models
with Isaiah Andrews
Econometrica, 2016, 84(3), pp. 1249-1264
Supplementary Appendix
Previously circulated version "A Geometric Approach to Weakly Identified Econometric Models"
Maximum Likelihood Inference in Weakly Identified DSGE Models
with Isaiah Andrews
Quantitative Economics, 2015, 6, pp. 123-152
Supplementary Appendix
Second Order Expansion of the t-statistic in AR(1) Models
Econometric Theory, 2015, 31, pp. 426-448
Weak Identification in Maximum Likelihood: A Question of Information
with Isaiah Andrews
American Economic Reviews: Papers and Proceedings, 2014, 104(5), pp.195-199
Survey on Statistical Inferences in Weakly-Identified Instrumental Variable Models
Applied Econometrics, 2013, 29(1), pp. 116-131
Estimators for Persistent and Possibly Non-Stationary Data with Classical Properties
with Yuriy Gorodnichenko and Serena Ng
Econometric Theory, 2012, 28(5), pp. 1003-1036
Estimation of Dynamic Stochastic General Equillibrium Models
Quantile, 2014, 12, pp.1-21 (in Russian)
One-dimensional inference in autoregressive models with the potential presence of a unit root
Econometrica, 2012, 80(1), pp. 173-212
Supplementary Appendix
Robust Confidence Sets in the Presence of Weak Instruments
Journal of Econometrics, 2010, 157, pp. 236-247
Comment on invited paper by Kleibergen and Mavroeidis "Weak Instrument Robust Tests in GMM and the New Keynesian Phillips Curve"
Journal of Business and Economic Statistics, 2009, 27(3), pp. 293-311
Uniform Inference in Autoregressive Models
Econometrica, 2007, 75(5), pp. 1411-1452
Supplementary Appendix
Tests and Confidence Sets with Correct Size in the Simultaneous Equations Model with Potentially Weak Instruments
with Brian Poi
The Stata Journal, 2006, 6(3), pp. 335-347.