174 citations · 200 across the 6 of their papers we have counts for
3 papers · 1 filter
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…