We give some Monte Carlo results on the performance of two robust alternatives to least squares regression estimation - least absolute residuals and the one-step "sine" estimator. We show how to scale the residuals for the sine estimator to achieve constant efficiency at the Gaussian across...

When a rate of return is regressed on a lagged stochastic regressor, such as a dividend yield, the regression disturbance is correlated with the regressor's innovation. The OLS estimator's finite-sample properties, derived here, can depart substantially from the standard regression setting....

This paper derives the asymptotic distribution for a vector of sample autocorrelations of regression residuals from a quite general linear model. The asymptotic distribution forms the basis for a test of the null hypothesis that the regression error follows a moving average of order q...

Empirical researchers often combine multiple instrumental variables (IVs) for a single treatment using two-stage least squares (2SLS). When treatment effects are heterogeneous, a common justification for including multiple IVs is that the 2SLS estimand can be given a causal interpretation as a...

We replicate eight influential papers to provide empirical evidence that, in the presence of heterogeneous treatment effects, OLS with fixed effects (FE) is generally not a consistent estimator of the average treatment effect (ATE). We propose two alternative estimators that recover the ATE in...

NL2SOL is a modular program for solving the nonlinear least-squares problem that incorporates a number of novel features. It maintains a secant approximation S to the second-order part of the least-squares Hessian and adaptively decides when to use this approximation. We have found it very...

Data on health care expenditures, length of stay, utilization of health services, consumption of unhealthy commodities, etc. are typically characterized by: (a) nonnegative outcomes; (b) nontrivial fractions of zero outcomes in the population (and sample); and (c) positively-skewed distributions...

We examine evidence on omitted-ability bias in estimates of the economic return to schooling, using proxies for unobserved ability. We consider measurement error in these ability proxies and the potential endogeneity of both experience and schooling, and examine wages at labor market entry and...

We show that the standard equation-by-equation OLS used in performance evaluation ignores information in the alpha population and leads to severely biased estimates for the alpha population. We propose a new framework that treats fund alphas as random effects. Our framework allows us to make...

Although independent unobserved heterogeneity--variables that affect the dependent variable but are independent from the other explanatory variables of interest--do not affect the point estimates or marginal effects in least squares regression, they do affect point estimates in nonlinear models...