Scaling behavior measured in cross-sectional studies through the tail index of a power law is prone to a bias. This hampers inference; in particular, time variation in estimated tail indices may be erroneous. In the case of a linear factor model, the factor biases the tail indices in the left and...

We introduce a new approach for the estimation of high-dimensional factor models with regime-switching factor loadings by extending the linear three-pass regression filter to settings where parameters can vary according to Markov processes. The new method, denoted as Markov-switching three-pass...

Bayesian predictive synthesis is a flexible method of combining density predictions. The flexibility comes from the ability to choose an arbitrary synthesis function to combine predictions. I study the choice of synthesis function when combining large numbers of predictions-a common occurrence...

Bayesian predictive synthesis (BPS) is a method of combining predictive distributions based on agent opinion analysis theory, which encompasses many common approaches to combining density forecasts. The key ingredient in BPS is a synthesis function. This is typically specified parametrically as...

An accessible presentation of the standard statistical techniques used by labour economists. It emphasises both the input and output of empirical analysis and covers the application of five major econometric methods.