Empirically analyzing household behavior usually relies on informal data preprocessing. That is, before an econometric model is estimated, observations are selected in such a way that the resulting subset of data can be assumed to be sufficiently homogeneous with respect to the specific research...

We derive autocorrelation-robust asymptotic variances of the Brier score and Brier skill score, which are generally applicable in circumstances with weak serial correlation. A simulation experiment and an empirical application from macroeconomics underscore the importance of taking care of...

When there is exact collinearity between regressors, their individual coefficients are not identified, but given an informative prior their Bayesian posterior means are well defined. The case of high but not exact collinearity is more complicated but similar results follow. Just as exact...

Structural econometric methods are often criticized for being sensitive to functional form assumptions. We study parametric estimators of the local average treatment effect (LATE) derived from a widely used class of latent threshold crossing models and show they yield LATE estimates...

This paper considers the implications of the permanent/transitory decomposition of shocks for identification of structural models in the general case where the model might contain more than one permanent structural shock. It provides a simple and intuitive generalization of the influential work...

This paper proposes the Fixed Effects Filtered (FEF) and Fixed Effects Filtered instrumental variable (FEF-IV) estimators for estimation and inference in the case of time-invariant effects in static panel data models when N is large and T is fixed. It is shown that the FEF and FEF-IV estimators...

While coping with nonsphericality of the disturbances, standard GMM suffers from a blind spot for exploiting the most effective instruments when these are obtained directly from unconditional rather than conditional moment assumptions. For instance, standard GMM counteracts that exogenous...

The HP filter is the most popular filter for extracting the trend and cycle components from an observed time series. Many researchers consider the smoothing parameter λ = 1600 as something like an universal constant. It is well known that the HP filter is an optimal filter under some...

This paper introduces a new measure of dependence or jointness among explanatory variables. Jointness is based on the joint posterior distribution of variables over the model space, thereby taking model uncertainty into account. By looking beyond marginal measures of variable importance,...

One of the leading methods of estimating the structural parameters of DSGE models is the VAR-based impulse response matching estimator. The existing asymptotic theory for this estimator does not cover situations in which the number of impulse response parameters exceeds the number of VAR model...