Research

I work on panel data econometrics with my supervisors, Eric Renault and Kenichi Nagasawa.

N/T Matters: Consistency and Rates for Weak Granular IV

Granular Instrumental Variables can be weak in the absence of dominant units (lack of granularity). I study and characterize instrument strength for different regimes of granularity. In the absence of sufficiently large units, the information contained in the instrument is weak. Very large samples allow us to combine this weak information to consistently estimate parameters of interest.

Granular Instrumental Variables (with Eric Renault and Kenichi Nagasawa)

The methodology of Granular Instrumental Variables (GIV) pioneered by Gabaix and Koijen (2022) offers an exciting way to estimate structural parameters on endogenous variables. I research on extending the theory of Granular Instrumental Variables (GIV) for panels with finite cross-sectional units and infinite time dynamics when both common factors and factor loadings in the error term are not available.

Interactive Fixed Effects with Heterogenous Parameters (with Kenichi Nagasawa)

Bai(2009)’s popular Interactive Fixed Effects estimator fails when the parameter of interest varies with individual units. Our research explores the consistent estimation of these heterogenous parameters.