We develop a model for decomposing the covariance structure of panel data on firms into a part due to permanent heterogeneity, a part due to differential histories with unknown ages, and a part due to the evolution of economic shocks to the firm. Our model allows for the endogenous death of...

Key macro indicators such as output, productivity, and inflation are based on a complex system across multiple statistical agencies using different samples and different levels of aggregation. The Census Bureau collects nominal sales, the Bureau of Labor Statistics collects prices, and the...

We examine two measures of monthly manufacturing production. The first is the index of industrial production; the second is constructed from the accounting identity that output equals sales plus the change in inventories. We show that the means, variances, and serial correlation coefficients of...

In this paper, we examine whether expanded access to sought-after schools can improve academic achievement. The setting we study is the quot;open enrollmentquot; system in the Chicago Public Schools (CPS). We use lottery data to avoid the critical issue of non-random selection of students into...

We investigate the extent to which tests of financial asset pricing models may be biased by using properties of the data to construct the test statistics. Specifically, we focus on tests using returns to portfolios of common stock where portfolios are constructed by sorting on some empirically...

Many applications in financial economics use data series with different starting or ending dates. This paper describes estimation methods, based on the generalized method of moments (GMM), which make use of all available data for each moment condition. We introduce two asymptotically equivalent...

We examine the Cochrane and Piazzesi (2005, 2008) model in several out-of-sample analyzes. The model's one-factor forecasting structure characterizes the term structures of additional currencies in samples ending in 2003. In post-2003 data one-factor structures again characterize each currency's...

We explore the in- and out- of sample robustness of tests for consumer choice inconsistencies based on parameter restrictions in parametric models, with a focus on tests proposed by Ketcham, Kuminoff and Powers (2015). We start by arguing that non-parametric alternatives are inherently...

Understanding long-term changes in human well-being is central to understanding the consequences of economic development. An extensive anthropometric literature purports to show that heights in the United States declined between the 1830s and the 1890s, which is when the US economy...