This paper proposes the use of Bayesian inference techniques to search for and obtain valid instruments in dynamic panel data models where endogenous variables may exist. The use of Principal Component Analysis (PCA) allows for obtaining a reduced number of instruments in comparison to the high...

In the first part of the paper, we consider estimation and inference on policy relevant treatment effects, such as local average and local quantile treatment effects, in a data-rich environment where there may be many more control variables available than there are observations. In addition to...

We consider estimation of policy relevant treatment effects in a data-rich environ ment where there may be many more control variables available than there are observations. In addition to allowing many control variables, the setting we consider allows heterogeneous treatment effects, endogenous...