MIN Pengjin

Professor Yichong Zhang
Email: yczhang@smu.edu.sg
Tel: +65 6828 0881

Professor Liyu Dou
Email: liyudou@smu.edu.sg
Tel: +65 6808 7943

Professor Jia Li
Email: jiali@smu.edu.sg
Tel: +65 6828 0707

Professor Wenjie Wang
Email: wang.wj@ntu.edu.sg
Tel: +65 6316 8958

WORKING PAPERS

“An Improved Inference for IV Regressions” (Job Market Paper)

Empirical applications of instrumental variables (IV) regressions often involve both low-dimensional and high-dimensional sets of instruments. In Angrist and Krueger (1991), the quarter-of-birth instruments generate a much larger set that includes many interaction-based technical instruments; in shiftshare designs considered in Goldsmith-Pinkham, Sorkin, and Swift (2020), a single IV aggregates many underlying base instruments. To improve inference in such settings, this paper proposes a combination test that integrates low and high-dimensional IV specifications. The test linearly combines a clusterro bust Wald statistic based on low dimensional IVs with leave-cluster-out Lagrange multiplier (LM) and Anderson-Rubin (AR) statistics constructed from the many IVs. We establish the joint asymptotic normality of these statistics and show that the proposed test is asymptotically optimal within a broad class of tests. The procedure yields costless e!ciency improvements, automatically adapts to weak identification of the many instruments, and provides a practical rule of thumb for assessing these gains. 

RESEARCH PAPERS

“Cluster-Robust Inference for Quadratic Forms”, with Michal Kolesár, Wenjie Wang, and Yichong Zhang

“Honest Inference for High-Dimensional Linear Models”, with Dennis Lim, Jonathan H. W. Tan, and Jiezheng Wei