We build a dynamic general equilibrium model with 2 countries, horizontal and vertical multinational activity and endogenous domestic and foreign investment. It is found that horizontal multinational activity always leads to a complementary relationship between domestic and foreign investment....

In modern data sets, the number of available variables can greatly exceed the number of observations. In this paper we show how valid confidence intervals can be constructed by approximating the inverse covariance matrix by a scaled Moore-Penrose pseudoinverse, and using the lasso to perform a...

Detecting heterogeneity within a population is crucial in many economic and financial applications. Econometrically, this requires a credible determination of multimodality in a given data distribution. We propose a straightforward yet effective technique for mode inference in discrete data...

This paper proposes a score-driven model for filtering time-varying causal parameters through the use of instrumental variables. In the presence of suitable instruments, we show that we can uncover dynamic causal relations between variables, even in the presence of regressor endogeneity which...