This paper provides a set of results that can be used to establish the asymptotic size and/or similarity in a uniform sense of confidence sets and tests. The results are generic in that they can be applied to a broad range of problems. They are most useful in scenarios where the pointwise...

We discuss the difficult question of measuring the effects of asymmetric information problems on resource allocation. Three problems are examined: moral hazard, adverse selection, and asymmetric learning. One theoretical conclusion, drawn by many authors, is that information problems may...

English Abstract: Assumptions that are sufficient to identify local average treatment effects (LATEs) generate necessary conditions that allow instrument validity to be refuted. The degree to which instrument validity is violated, however, probably varies across subpopulations. In this paper, we...

We examine the asymptotic properties of IV, GMM or MLE to estimate dynamic panel data models when either N or T or both are large. We show that the Anderson and Hsiao (1981, 1982) simple instrumental variable estimator (IV) or maximizing the likelihood function with initial value distribution...

This article surveys the state of the art in the econometrics of regression models with many instruments or many regressors based on alternative – namely, dimension – asymptotics. We list critical results of dimension asymptotics that lead to better approximations of properties of familiar...

German Abstract: Die Verwendung von Instrumental Variablen (IV’s) zur Identifizierung von kausalen Effekten ist weit verbreitet in der empirischen Wirtschaftsforschung. Es ist jedoch fundamental unmöglich deren Validität zu beweisen. Annahmen zur Identifizierung von local average treatment...

We discuss the difficult question of measuring the effects of asymmetric information problems on resource allocation. Three problems are examined: moral hazard, adverse selection, and asymmetric learning. One theoretical conclusion, drawn by many authors, is that information problems may...

When weak identification is a concern researchers frequently calculate confidence sets in two steps, first assessing the strength of identification and then, on the basis of this initial assessment, deciding whether to use an identification-robust confidence set. Unfortunately, two-step...

The instrumental variable model is one of the central tools for the analysis of causal relationships in observational data. The Anderson and Rubin (1949) test is an important method that allows for reliable inference in the instrumental variable model when the instruments are weak. Yet, the...

We propose a new specification test to assess the validity of the judge leniency design. We characterize a set of sharp testable implications, which exploit all the relevant information in the observed data distribution to detect violations of the judge leniency design assumptions. The proposed...