This paper considers tests in an instrumental variables (IVs) regression model with IVs that may be weak. Tests that have near-optimal asymptotic power properties with Gaussian errors for weak and strong IVs have been determined in Andrews, Moreira, and Stock (2006a). In this paper, we seek...

The fact that weak instruments lead to spurious inference is now widely recognized. In this paper we ask whether spurious inference occurs more generally in weakly identified models. To distinguish between models where spurious inference will occur from those where it does not, we introduce the...

In this paper, we propose a new method to assess the impact of sovereign ratings on sovereign bond yields. We estimate the impulse response of the interest rate, following a change in the rating. Since ratings are ordinal and moreover extremely persistent, it proves difficult to estimate those...

We consider median regression and, more generally, quantile regression in high-dimensional sparse models. In these models the overall number of regressors p is very large, possibly larger than the sample size n, but only s of these regressors have non-zero impact on the conditional quantile of...

Partial derivatives have a special place in economics since the marginal revolution of the 1850s. We present results from multivariate partial derivative estimates using nonlinear non-parametric regressions in a finite difference method, accessible via the R-package NNS. Numerical partial...

This paper develops a semi-parametric Bayesian regression model for estimating heterogeneous treatment effects from observational data. Standard nonlinear regression models, which may work quite well for prediction, can yield badly biased estimates of treatment effects when fit to data with...

This paper establishes nonparametric identification of individual treatment effects in a nonseparable model with a binary endogenous regressor. The outcome variable may be continuous, discrete, or a mixture of both, while the instrumental variable can take binary values. First, we study the case...

This article gives the asymptotic properties for nonparametric kernel based density and regression estimators when one of the variables, respectively regressors, had to be pre-estimated. Those variables are known as constructed variables or generatedregressors, and their impact on the -nal...

The focus of the paper is the nonparametric estimation of an instrumental regression function f defined by conditional moment restrictions stemming from a structural econometric model: E [Y - f (Z) | W] = 0, and involving endogenous variables Y and Z and instruments W. The function f is the...