We provide a general framework for incorporating many types of micro data from summary statistics to full surveys of selected consumers into Berry, Levinsohn, and Pakes (1995)-style estimates of differentiated products demand systems. We extend best practices for BLP estimation in Conlon and...

Empirical researchers frequently rely on normal approximations in order to summarize and communicate uncertainty about their findings to their scientific audience. When such approximations are unreliable, they can lead the audience to make misguided decisions. We propose to measure the failure...

Remotely sensed measurements and other machine learning predictions are increasingly used in place of direct observations in empirical analyses. Errors in such measures may bias parameter estimation, but it remains unclear how large such biases are or how to correct for them. We leverage a new...

Financial reports present assets, liabilities, and earnings on a nominal basis (unadjusted for inflation). Using a novel dataset of nearly a century of financial reports, this paper examines whether and how inflation affects the relation between accounting earnings and stock market value, i.e.,...

We introduce a new methodology for estimating multi-product production functions. It embeds the seminal contributions of Diewert (1973) and Lau (1976) in our extended version of the semi-parametric econometric framework of Olley and Pakes (1996), where we address the simultaneity of inputs and...

Revealed preference arguments are commonly used when identifying models of both single-agent decisions and non-cooperative games. We develop general identification results for a large class of models that have a linearly separable payoff structure. Our model allows for both discrete and...

To address the well-established large-sample invalidity of the +/-1.96 critical values for the t-ratio in the single variable just-identified IV model, applied research typically qualifies the inference based on the first-stage-F (Staiger and Stock (1997) and Stock and Yogo (2005)). We fully...

We calculate impulse response functions from regime-switching models where the driving variable can respond to the shock. Two methods used to estimate the impulse responses in these models are generalized impulse response functions and local projections. Local projections depend on the observed...

Benchmark finance and macroeconomic models appear to deliver conflicting estimates of the natural rate and bond risk premia. This natural rate puzzle applies not only in the U.S. but across many advanced economies. We use a unified no-arbitrage macro- finance model with two trend factors to...