174 citations · 200 across the 6 of their papers we have counts for
6 papers
Standard errors when a regressor is randomly assigned
Denis Chetverikov, Jinyong Hahn, Zhipeng Liao +1
We examine asymptotic properties of the OLS estimator when the values of the regressor of interest are assigned randomly and independently of other regressors. We find that the OLS…
Efficient Bias Correction for Cross-section and Panel Data
Jinyong Hahn, David W. Hughes, Guido Kuersteiner +1
Bias correction can often improve the finite sample performance of estimators. We show that the choice of bias correction method has no effect on the higher-order variance of semip…
Joint Time Series and Cross-Section Limit Theory under Mixingale Assumptions
Jinyong Hahn, Guido Kuersteiner, Maurizio Mazzocco
In this paper we complement joint time series and cross-section convergence results of Hahn, Kuersteiner and Mazzocco (2016) by allowing for serial correlation in the time series s…
Central Limit Theory for Combined Cross-Section and Time Series with an Application to Aggregate Productivity Shocks
Jinyong Hahn, Guido Kuersteiner, Maurizio Mazzocco
Combining cross-section and time series data is a long and well established practice in empirical economics. We develop a central limit theory that explicitly accounts for possible…
Estimation with Aggregate Shocks
Jinyong Hahn, Guido Kuersteiner, Maurizio Mazzocco
Aggregate shocks affect most households' and firms' decisions. Using three stylized models we show that inference based on cross-sectional data alone generally fails to correctly a…
Average and Quantile Effects in Nonseparable Panel Models
Victor Chernozhukov, Ivan Fernandez-Val, Jinyong Hahn +1
Nonseparable panel models are important in a variety of economic settings, including discrete choice. This paper gives identification and estimation results for nonseparable models…