A strategy that selects stocks based on their historical same-calendar-month returns earns an average return of 13% per year. We document similar return seasonalities in anomalies, commodities, international stock market indices, and at the daily frequency. The seasonalities overwhelm...

Seasonal adjustment procedures attempt to estimate the sample realizations of an unobservable economic time series in the presence of both seasonal factors and irregular factors. In this paper we consider a factor which has not been considered explicitly in previous treatments of seasonal...

The following paper discusses the analysis of some types of economic time series using an altered time scale, or operational time. It is argued that for some series, observations that are ordinarily thought of as equidistant in time are actually irregularly spaced in a more natural time scale....

Traffic fatalities are the leading cause of mortality in the United States despite being preventable. While several policies have been introduced to improve traffic safety and their effects have been well documented, the role of transitory health shocks or situational factors at explaining...

This paper examines the intergenerational transmission of gender attitudes in India, a setting where discrimination against women and girls is severe. We use survey data on gender attitudes (specifically, views about the appropriate roles and rights of women and girls) collected from adolescents...

The functioning and well-being of any society and organization critically hinges on norms of cooperation that regulate social activities. Empirical evidence on how such norms emerge and in which environments they thrive remains a clear void in the literature. To provide an initial set of...

The success of non-pharmaceutical interventions to contain pandemics often depends greatly upon voluntary compliance with government guidelines. What explains variation in voluntary compliance? Using mobile phone and survey data, we show that during the early phases of COVID-19, voluntary social...

In the 2018 comprehensive update of the national income and product accounts, the Bureau of Economic Analysis released not seasonally adjusted data, and modified its seasonal adjustment procedures. I find some indication of residual seasonality in the seasonally adjusted data as published before...

This paper seeks to better understand what makes big data analysis different, what we can and cannot do with existing econometric tools, and what issues need to be dealt with in order to work with the data efficiently. As a case study, I set out to extract any business cycle information that...

Here's why. (1) The HP filter produces series with spurious dynamic relations that have no basis in the underlying data-generating process. (2) Filtered values at the end of the sample are very different from those in the middle, and are also characterized by spurious dynamics. (3) A statistical...