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Quantitative Economics

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linkhttps://qeconomics.org/ojs/index.php/qe calendar_today07-07-2021 01:49:25

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5 months ago

We show weak exogeneity can bias OLS in time series with many controls, making it inconsistent. Bias grows with regressors and autocorrelation. We propose a correction method, yielding a consistent, asymptotically Gaussian estimator. econometricsociety.org/publications/q…

We show weak exogeneity can bias OLS in time series with many controls, making it inconsistent. Bias grows with regressors and autocorrelation. We propose a correction method, yielding a consistent, asymptotically Gaussian estimator. econometricsociety.org/publications/q…