Updates

Here is a link to the SLIDES for the talk on identification that I gave at the 2014 SFS Cavalcade.

Here is a link to SIMILAR SLIDES for a conference on causality at Stanford in December 2014. Here is a recording of the TALK.

Starting in September 2014, I will be co-editing the Journal of Financial Economics.

The Erickson-Whited high-order moment estimators have been superceded by high-order cumulant estimators. They are asymptotically equivalent to the moment estimators but they have closed form solutions. You can read about them here. We have a Stata module that can implement these estimators. It can be found here.

Instructional Links

Survey of Dynamic Models and Structural Estimation in Corporate Finance


Survey of Endogeneity in Empirical Corporate Finance


Nontechnical lecture slides on structural estimation at the 2011 FMA.


Technical lecture slides on structural estimation at the 2010 FMA.


Technical lecture video on structural estimation at the 2010 FMA.


 
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