Publications & Papers by Anna Mikusheva

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Econometrics

Inference with Many Weak Instruments

The Review of Economic Studies
Anna Mikusheva, Liyang Sun
October 2022
Econometrics

GMM is Inadmissible Under Weak Identification

Anna Mikushev, Isaiah Andrews
April 2022
Econometrics

Isaiah Andrews, 2021 John Bates Clark Medalist

Journal of Economic Perspectives, vol. 36(1), pp. 177-90
Anna Mikusheva, Jesse M. Shapiro
December 2021
Econometrica
Econometrics

Optimal Decision Rules for Weak GMM

Econometrica, Vol 90(2), pp. 715-48
Anna Mikusheva, Isaiah Andrews
July 2021

Sources

Slides
Econometrics

Many Weak Instruments in Time Series Econometrics

Anna Mikusheva
February 2021
Econometrics

Factor model with many assets: strong factors, weak factors and two-pass procedure

Journal of Econometrics, forthcoming
Anna Mikusheva, Stanislav Anatolyev
January 2021
Econometrics

Limit Theorems for Factor Models

Econometric Theory, 37(5), pp. 1034-74
Anna Mikusheva, Stanislav Anatolyev
September 2020
Econometrics

Conditional Inference with Functional Nuisance Parameter

Econometrica, 84(4), pp. 1571-1612
Anna Mikusheva, Isaiah Andrews
July 2016
Econometrics

Maximum Likelihood Inference in Weakly Identified DSGE Models

Quantitative Economics, 6, pp. 123-152
Anna Mikusheva, Isaiah Andrews
December 2015
Econometrics

Second Order Expansion of the t-statistic in AR(1) Models

Econometric Theory, 31, pp. 426-448
Anna Mikusheva
June 2015
Econometrics

Estimation of Dynamic Stochastic General Equillibrium Models

Quantile, 12, pp.1-21 (in Russian)
Anna Mikusheva
December 2014
Econometrics

Weak Identification in Maximum Likelihood: A Question of Information

American Economic Reviews: Papers and Proceedings, 104(5), pp.195-199
Anna Mikusheva, Isaiah Andrews
May 2014
Econometrics

Survey on Statistical Inferences in Weakly-Identified Instrumental Variable Models

Applied Econometrics, 29(1), pp. 116-131
Anna Mikusheva
December 2013
Econometrics

One-dimensional inference in autoregressive models with the potential presence of a unit root

Econometrica, 80(1), pp. 173-212
Anna Mikusheva
January 2012
Econometrics

Estimators for Persistent and Possibly Non-Stationary Data with Classical Properties

Econometric Theory, 28(5), pp. 1003-1036
Anna Mikusheva,Yuriy Gorodnichenko, Serena Ng
August 2011
Econometrics

Robust Confidence Sets in the Presence of Weak Instruments

Journal of Econometrics, 157, pp. 236-247
Anna Mikusheva
January 2010
Econometrics

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, 27(3), pp. 293-311
Anna Mikusheva
July 2009