Difference in differences methods have become very popular in applied work. These models are typically quite easy to implement and to interpret. However, performing inference with these models is not. This paper addresses one particular aspect that is likely to be very important in most...

Estimators based on moment conditions of the form E[g(X,t)], where t is a finite-dimensional parameter vector of interest, are a popular tool in applied econometrics. Unlike likelihood-based estimators, moment-based estimators do not require the researcher to specify the probability distribution...

This paper considers the parametric inference of a wide range of structural econometric models. The class of models considered includes those with parameter-dependent support and those derived from game-theoretic models. Inference of those models has raised some important econometric issues....

This paper develops and implements a practical simulation-based method for estimating dynamic discrete choice models. The method, which can accommodate lagged dependent variables, serially correlated errors, unobserved variables, and many alternatives, builds on the ideas of indirect inference....

Conventional time series analysis, focusing exclusively on a time series at a given scale, lacks the ability to explain the nature of the data generating process. A process equation that successfully explains daily price changes, for example, is unable to characterize the nature of hourly price...

This paper studies the limit distributions of Monte Carlo estimators of diffusion processes. Two types of estimators are examined. The first one is based on the Euler scheme applied to the original processes; the second applies the Euler scheme to a variance-stabilizing transformation of the...

We revisit the concept of unpredictability to explore its implications for forecasting strategies in a non-stationary world subject to structural breaks, where model and mechanism differ. Six aspects of the role of unpredictability are distinguished, compounding the four additional mistakes most...

The so-called purchasing-power parity (PPP) puzzle takes one of two forms. In its first form, early tests of the PPP-hypothesis failed to reject unit roots in real exchange rates, thus rejecting the hypothesis of PPP holding in the long term. In the more recent literature, the literature on the...

A large number of microeconomic decision variables such as investments, prices, inventories or employment are characterized by intermittent large adjustments. The behavior of those variables has been often modeled as following state-dependent rules. The optimality of such state-dependent rules...

This paper proposes unit root tests based on partially adaptive estimation. The proposed tests provide an intermediate class of inference procedures that are more efficient than the traditional OLS-based methods and simpler than unit root tests based on fully adaptive estimation using...