3 papers
econ.EM2025
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…
econ.EM2023
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…
econ.EM2018
Leave-out estimation of variance components
Patrick Kline, Raffaele Saggio, Mikkel Sølvsten
We propose leave-out estimators of quadratic forms designed for the study of linear models with unrestricted heteroscedasticity. Applications include analysis of variance and tests…