Linear regressions with period and group fixed effects are widely used to estimate policies' effects: 26 of the 100 most cited papers published by the American Economic Review from 2015 to 2019 estimate such regressions. It has recently been show that those regressions may produce misleading...

Thirty-four recent studies have investigated the effect of currency union on trade, resulting in 754 point estimates of the effect. This paper is a quantitative attempt to summarize the current state of debate; meta-analysis is used to combine the disparate estimates. The chief findings are that:...

This paper examines the robustness of explanatory variables in cross-country economic growth regressions. It employs a novel approach, Bayesian Averaging of Classical Estimates (BACE), which constructs estimates as a weighted average of OLS estimates for every possible combination of included...

This paper considers regression-based tests for encompassing, when none of the models under consideration encompasses all the other models. For both in- and out-of-sample applications, I derive asymptotic distributions and propose feasible procedures to construct confidence intervals and test...

Value at Risk has become the standard measure of market risk employed by financial institutions for both internal and regulatory purposes. Despite its conceptual simplicity, its measurement is a very challenging statistical problem and none of the methodologies developed so far give satisfactory...

The regression discontinuity (RD) data design is a quasi-experimental design with the defining characteristic that the probability of receiving treatment changes discontinuously as a function of one or more individual characteristics. This data design occasionally arises in economic and other...

When a rate of return is regressed on a lagged stochastic regressor, such as a dividend yield, the regression disturbance is correlated with the regressor's innovation. The OLS estimator's finite-sample properties, derived here, can depart substantially from the standard regression setting....

A wide range of empirical applications rely on linear approximations to dynamic Euler equations. Among the most notable of these is the large and growing literature on precautionary saving that examines how consumption growth and saving behavior are affected by uncertainty and prudence. Linear...

This paper shows how to remove attenuation bias in regression analyses due to measurement error in historical data for a given variable of interest by using a secondary measure which can be easily generated from digitized newspapers. We provide three methods for using this secondary variable to...