Multiple cointegrating regressions are frequently encountered in empirical work as, for example, in the analysis of panel data. When the equilibrium errors are correlated across equations, the seemingly unrelated regression estimation strategy can be applied to cointegrating regressions to...

We study the panel DOLS estimator of a homogeneous cointegration vector for a balanced panel of N individuals observed over T time periods. Allowable heterogeneity across individuals include individual-specific time trends, individual-specific fixed effects and time-specific effects. The...

The Euler equations derived from a broad range of intertemporal asset pricing models, together with the first two unconditional moments of asset returns, imply a lower bound on the volatility of the intertemporal marginal rate of substitution. We develop and implement statistical tests of these...

This paper exposits and relates two distinct approaches to bounding the average treatment effect. One approach, based on instrumental variables, is due to Manski (1990, 1994), who derives tight bounds on the average treatment effect under a mean independence form of the instrumental variables...

This paper describes a range of methods which have been proposed to study interactions in economic and social contexts. By interactions, we refer to interdependences between individual decisions which are not mediated by markets. These types of models have been employed to understand phenomena...

We consider the implications of a specific alternative to the classical measurement error model, in which the data are optimal predictions based on some information set. One motivation for this model is that if respondents are aware of their ignorance they may interpret the question what is the...

This paper considers regression-based tests for encompassing, when none of the models under consideration encompasses all the other models. For both in- and out-of-sample applications, I derive asymptotic distributions and propose feasible procedures to construct confidence intervals and test...

This paper analyzes the performance of heteroskedasticity-and-autocorrelation-consistent (HAC) covariance matrix estimators in which the residuals are prewhitened using a vector autoregressive (VAR) filter. We highlight the pitfalls of using an arbitrarily fixed lag order for the VAR filter, and...

This paper specifies a general set of conditions under which the impacts of a policy can be identified using data generated under a different policy regime. We show that some of the policy impacts can be identified under relatively weak conditions on the data and structure of a model. Based on...

In this paper we consider conditions under which the estimation of a log-linearized Euler equation for consumption yields consistent estimates of the preference parameters. When utility is isoelastic and a sample covering a long time period is available, consistent estimates are obtained from...