Economic data are often generated by stochastic processes that take place in continuous time, though observations may occur only at discrete times. For example, electricity and gas consumption take place in continuous time. Data generated by a continuous time stochastic process are called...

Economic data are often generated by stochastic processes that take place in continuous time, though observations may occur only at discrete times. For example, electricity and gas consumption take place in continuous time. Data generated by a continuous time stochastic process are called...

Economic data are often generated by stochastic processes that take place in continuous time, though observations may occur only at discrete times. For example, electricity and gas consumption take place in continuous time. Data generated by a continuous time stochastic process are called...

This paper develops a novel approach that leverages the information contained in expectations datasets to derive empirical measures of beliefs regarding economic shocks and their dynamic effects. Utilizing a panel of expectation revisions for a single variable across multiple horizons, we...

In many set identified models, it is difficult to obtain a tractable characterization of the identified set, therefore, empirical works often construct confidence region based on an outer set of the identified set. Because an outer set is always a superset of the identified set, this practice is...

Economists are often interested in estimating averages with respect to distributions of unobservables, such as moments of individual fixed-effects, or average partial effects in discrete choice models. For such quantities, we propose and study posterior average effects (PAE), where the average...

We develop a framework for difference-in-differences designs with staggered treatment adoption and heterogeneous causal effects. We show that conventional regression-based estimators fail to provide unbiased estimates of relevant estimands absent strong restrictions on treatment-effect...

We consider estimation and inference for a regression coefficient in panels with interactive fixed effects (i.e., with a factor structure). We show that previously developed estimators and confidence intervals (CIs) might be heavily biased and size-distorted when some of the factors are weak. We...

We consider estimation and inference for a regression coefficient in panels with interactive fixed effects (i.e., with a factor structure). We demonstrate that existing estimators and confidence intervals (CIs) can be heavily biased and size-distorted when some of the factors are weak. We...