Administrative datasets provide an excellent source for detailed analysis of establishment entries and exits on a fine and disaggregate level. However, administrative datasets are not without problems: restructuring and relabeling of firms is often poorly measured and can create large biases....

We propose two new jump-robust estimators of integrated variance based on high-frequency return observations. These MinRV and MedRV estimators provide an attractive alternative to the prevailing bipower and multipower variation measures. Specifically, the MedRV estimator has better theoretical...

Many believe that "big data" will transform business, government and other aspects of the economy. In this article we discuss how new data may impact economic policy and economic research. Large-scale administrative datasets and proprietary private sector data can greatly improve the way we...

We develop a sequential procedure to test the adequacy of jump-diffusion models for return distributions. We rely on intraday data and nonparametric volatility measures, along with a new jump detection technique and appropriate conditional moment tests, for assessing the import of jumps and...

Within-industry differences in measured plant-level productivity are large. A large literature has been devoted to explaining the causes and consequences of these differences. In the U.S. Census Bureau's manufacturing data, the Bureau imputes for missing values using methods known to result in...

This paper describes two databases dealing with world bilateral trade flows: the World Trade Database (WTDB) assembled by Statistics Canada, which contains bilateral trade flows for all countries over 1970-1992, classified according to the Standard International Trade Classification, Revision 2...

Using a large data set that links individual Current Population Survey (CPS) records to employer-reported administrative data, we document substantial discrepancies in basic measures of employment status that persist even after controlling for known definitional differences between the two data...

Under Statement of Financial Accounting Standards No. 123, the grant date value of executive stock options excludes the value of any reload feature because, at the time of writing the standard in 1995, the Financial Accounting Standards Board believed it was not feasible to value a reload...