Jooyoung Cha, Yuya Sasaki, Nelson Matthew P. Tan
arXiv 23 Jun 2026 · Econometrics
arXiv:2606.24867 · PDF · DOI · OpenAlex · Extracted main text
We propose methods for constructing lower bounds on the standard errors of parameters estimated from moment conditions obtained across different samples. Sharp explicit bounds are derived by exploiting geometric inequalities when no information about correlations across samples is available. Furthermore, we develop computationally tractable sharp bounds for more general settings with no or partial correlation information, which can be obtained by solving a simple semidefinite program. Finally, we illustrate the practical usefulness of our method through three empirical cases: two macroeconomics examples involving menu cost and Heterogeneous Agent New-Keynesian models; and a two sample instrumental variable microeconomic study.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Cocci, Matthew D and Plagborg-Møller, Mikkel (2025) Standard errors for calibrated parameters | 1.000 | 19 | 5 | 100% |
| 2 | Fernando Alvarez and Francesco Lippi (2014) Price Setting with Menu Cost for Multiproduct Firms | 0.811 | 4 | 2 | 100% |
| 3 | Minsu Chang and Xiaohong Chen and Frank Schorfheide (2023) Heterogeneity and Aggregate Fluctuations | 0.693 | 9 | 1 | 100% |
| 4 | Silvia Miranda-Agrippino and Giovanni Ricco (2021) The Transmission of Monetary Policy Shocks | 0.693 | 8 | 1 | 100% |
| 5 | Currie, Janet and Yelowitz, Aaron (2000) Are public housing projects good for kids? | 0.693 | 7 | 1 | 100% |
| 6 | Adrien Auclert and Bence Bardóczy and Matthew Rognlie and Ludwing St… (2021) Using the Sequence-Space Jacobian to Solve and Estimate Heterogeneous-Agent Models | 0.644 | 4 | 1 | 100% |
| 7 | Alisdair McKay and Emi Nakamura and Jón Steinsson (2016) The Power of Forward Guidance Revisited | 0.644 | 2 | 2 | 100% |
| 8 | Inoue, Atsushi and Solon, Gary (2010) Two-Sample Instrumental Variables Estimators | 0.585 | 3 | 1 | 100% |
| 9 | Stephen Boyd and Lieven Vandenberghe (2004) Convex Optimization | 0.511 | 2 | 2 | 50% |
| 10 | Fernando Alvarez and Hervé Le Bihan and Francesco Lippi (2016) The Real Effects of Monetary Shocks in Sticky Price Models: A Sufficient Statistic Approach | 0.511 | 2 | 1 | 100% |
Showing the top 10 of 28 scored citations.