One of the perceived advantages of difference-in-differences (DiD) methods is that they do not explicitly restrict how units select into treatment. However, when justifying DiD, researchers often argue that the treatment is "quasi-randomly" assigned. We investigate what selection mechanisms are...

Autoregressive models are used routinely in forecasting and often lead to better performance than more complicated models. However, empirical evidence is also suggesting that the autoregressive representations of many macroeconomic and financial time series are likely to be subject to structural...

We propose an estimation strategy that accounts for two major problems raised in the empirical literature testing for the prevalence of the inverted U-shaped relation between environmental degradation and economic activity, namely the Environmental Kuznets Curve (EKC) hypothesis. First, we use...

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 e͏̈ = 1600 as something like an universal constant. It is well known that the HP filter is an optimal filter under some...

This paper is concerned with problem of variable selection and forecasting in the presence of parameter instability. There are a number of approaches proposed for forecasting in the presence of breaks, including the use of rolling windows or exponential down-weighting. However, these studies...

This paper analyses the relationship between CPI and real GDP in both the US and the UK using fractional integration and long-range dependence techniques. All series appear to be highly trended and to exhibit high degrees of integration and persistence, especially in the case of CPI. Since the...

In this paper we extend the concept of serial correlation common features to panel data models. This analysis is motivated both by the need to develop a methodology to systematically stu dy and test for common structures and comovements in panel data with autocorrelation present and by an...

We consider VAR models for variables exhibiting cointegration and common cyclical features. While the presence of cointegration reduces the rank of the long-run multiplier matrix, other types of common features lead to rank reduction of the short-run dynamics. We distinguish between strong and...

This paper studies how the HP-Filter should be adjusted, when changing the frequency of observations. It complements the results of Baxter and King (1999) with an analytical analysis, demonstrating that the filter parameter should be adjusted by multiplying it with the fourth power of the...

We propose autocorrelation-robust asymptotic variances of the Brier score and Brier skill score, which are generally applicable in circumstances with weak serial correlation. An empirical application in macroeconomics underscores the importance of taking care of serial correlation. We find that...