While forecasting is a common practice in academia, government and business alike, practitioners are often left wondering how to choose the sample for estimating forecasting models. When we forecast inflation in 2014, for example, should we use the last 30 years of data or the last 10 years of...

This paper studies empirical facts regarding the effects of unexpected changes in aggregate macroeconomic fiscal policies on consumers that are allowed to di¤er depending on their individual characteristics. We use data from the Consumption Expenditure Survey (CEX) to estimate individual-level...

The Great Recession has challenged the adequacy of existing models to explain key macroeconomic data, and raised the concern that the models might be misspecified. This paper investigates the importance of misspecification in structural models using a novel approach to detect and identify the...