Critical Values Robust to P-hacking (with Pascal Michaillat), forthcoming at Review of Economics and Statistics
Short and Simple Confidence Intervals when the Directions of Some Effects are Known (with Philipp Ketz), forthcoming at Review of Economics and Statistics
Matlab Code, Stata code available from SSC archive: type "ssc install ssci"
Hybrid Confidence Intervals for Informative Uniform Asymptotic Inference After Model Selection, Biometrika, 111 (2024), 109-127.
Inference on Winners (with Isaiah Andrews and Toru Kitagawa), Quarterly Journal of Economics, 139 (2024), 305-358.
2019 Version (referenced in "Inference After Estimation of Breaks")
Inference for Losers (with Isaiah Andrews, Dillon Bowen and Toru Kitagawa), American Economic Association Papers and Proceedings, 112 (2022), 635-640.
Inference After Estimation of Breaks (with Isaiah Andrews and Toru Kitagawa), Journal of Econometrics, 224 (2021), 39-59.
Asymptotically Uniform Tests After Consistent Model Selection in the Linear Regression Model, Journal of Business and Economic Statistics, 38 (2020), 810-825.
Estimation and Inference with a (Nearly) Singular Jacobian (with Sukjin Han), Quantitative Economics, 10 (2019), 1019-1068.
Bonferroni-Based Size-Correction for Nonstandard Testing Problems, Journal of Econometrics, 200 (2017), 17-35.
Parameter Estimation Robust to Low-Frequency Contamination (with Jonathan B. Hill), Journal of Business and Economic Statistics, 35 (2017), 598-610.
Memory Parameter Estimation in the Presence of Level Shifts and Deterministic Trends (with Pierre Perron), Econometric Theory, 29 (2013), 1196-1237.
Estimation of the Long-Memory Stochastic Volatility Model Parameters that is Robust to Level Shifts and Deterministic Trends, Journal of Time Series Analysis, 34 (2013), 285-301.
Inference for Interval-Identified Parameters Selected from an Estimated Set (with Sukjin Han)
Interval identification of parameters such as average treatment effects, average partial effects and welfare is particularly common when using observational data and experimental data with imperfect compliance due to the endogeneity of individuals' treatment uptake. In this setting, a treatment or policy will typically become an object of interest to the researcher when it is either selected from the estimated set of best-performers or arises from a data-dependent selection rule. In this paper, we develop new inference tools for interval-identified parameters chosen via these forms of selection. We develop three types of confidence intervals for data-dependent and interval-identified parameters, discuss how they apply to several examples of interest and prove their uniform asymptotic validity under weak assumptions.
Adam McCloskey
Department of Economics
University of Colorado at Boulder
256 UCB
Boulder, CO 80309
Phone: (303) 735-7908 Fax: (303) 492-8960 E-mail: adam.mccloskey@colorado.edu