We develop a flexible semiparametric time series estimator that is then used to assess the causal effect of monetary policy interventions on macroeconomic aggregates. Our estimator captures the average causal response to discrete policy interventions in a macro-dynamic setting, without the need...

The fixed effects estimator of panel models can be severely biased because of well-known incidental parameter problems. It is shown that this bias can be reduced in nonlinear dynamic panel models. We consider asymptotics where <italic>n</italic> and <italic>T</italic> grow at the same rate as an approximation that facilitates...

We establish strict stationarity and strong mixing properties of the dynamic Tobit process. Using these results we show that the regularity conditions for bias corrections in general non-linear dynamic panel models are satisfied for the dynamic Tobit model.

This paper considers model averaging as a way to construct optimal instruments for the two-stage least squares (2SLS), limited information maximum likelihood (LIML), and Fuller estimators in the presence of many instruments. We propose averaging across least squares predictions of the endogenous...

This paper proposes a new instrumental variables estimator for a dynamic panel model with .xed e¤ects with good bias and mean squared error properties even when identi.cation of the model becomes weak near the unit circle. We adopt a weak instrument asymptotic approximation to study the...

We investigate estimation and inference in difference in difference econometric models used in the analysis of treatment effects. When the innovations in such models display serial correlation, commonly used ordinary least squares (OLS) procedures are inefficient and may lead to tests with...

We investigate the estimation and inference in difference in difference econometric models used in the analysis of treatment effects. When the innovations in such models display serial correlation, commonly used ordinary least squares (OLS) procedures are inefficient and may lead to tests with...