4 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…
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…