4 citations · 11 across the 8 of their papers we have counts for
9 papers
Estimation and exclusion restrictions in clustered linear models
Anna Mikusheva, Mikkel Sølvsten, Baiyun Jing
We study linear regression models with clustered data, high-dimensional controls, and intricate exclusion restrictions. We propose a correctly centered internal instrument IV estim…
Weak Identification with Many Instruments
Anna Mikusheva, Liyang Sun
Linear instrumental variable regressions are widely used to estimate causal effects. Many instruments arise from the use of ``technical'' instruments and more recently from the emp…
Linear Regression with Weak Exogeneity
Anna Mikusheva, Mikkel Sølvsten
This paper studies linear time series regressions with many regressors. Weak exogeneity is the most used identifying assumption in time series. Weak exogeneity requires the structu…
GMM is Inadmissible Under Weak Identification
Isaiah Andrews, Anna Mikusheva
We consider estimation in moment condition models and show that under any bound on identification strength, asymptotically admissible (i.e. undominated) estimators in a wide class…
Optimal Decision Rules for Weak GMM
Isaiah Andrews, Anna Mikusheva
This paper studies optimal decision rules, including estimators and tests, for weakly identified GMM models. We derive the limit experiment for weakly identified GMM, and propose a…
Inference with Many Weak Instruments
Anna Mikusheva, Liyang Sun
We develop a concept of weak identification in linear IV models in which the number of instruments can grow at the same rate or slower than the sample size. We propose a jackknifed…
Limit Theorems for Factor Models
Stanislav Anatolyev, Anna Mikusheva
The paper establishes the central limit theorems and proposes how to perform valid inference in factor models. We consider a setting where many counties/regions/assets are observed…
Factor models with many assets: strong factors, weak factors, and the two-pass procedure
Stanislav Anatolyev, Anna Mikusheva
This paper re-examines the problem of estimating risk premia in linear factor pricing models. Typically, the data used in the empirical literature are characterized by weakness of…
Conditional Inference with a Functional Nuisance Parameter
Isaiah Andrews, Anna Mikusheva
This paper shows that the problem of testing hypotheses in moment condition models without any assumptions about identification may be considered as a problem of testing with an in…