Inference using difference-in-differences with clustered data requires care. Previous research has shown that t tests based on a cluster-robust variance estimator (CRVE) severely over-reject when there are few treated clusters, that different variants of the wild cluster bootstrap can...

We suggest improved tests for cointegration rank in the vector au- toregressive (VAR) model and develop asymptotic distribution theory and local power results. The tests are (quasi-)likelihood ratio tests based on a Gaussian likelihood, but of course the asymptotic results apply more generally....

Inference using large datasets is not nearly as straightforward as conventional econometric theory suggests when the disturbances are clustered, even with very small intra-cluster correlations. The information contained in such a dataset grows much more slowly with the sample size than it would...

I derive a rigorous method to help determine whether a true parameter takes a value between two arbitrarily chosen points for a given level of confidence via a multiple testing procedure which strongly controls the familywise error rate. For any test size, the distance between the upper and...

Inference using difference-in-differences with clustered data requires care. Previous research has shown that, when there are few treated clusters, t-tests based on cluster-robust variance estimators (CRVEs) severely overreject, and different variants of the wild cluster bootstrap can either...

This paper considers transformations of nonlinear semiparametric mean functions that yield moment conditions for estimation. Such transformations are said to be information equivalent if they yield the same asymptotic efficiency bound. I derive a unified theory of algebraic equivalence for...

We study the effect of treatment on an outcome when parallel trends hold conditional on an interactive fixed effects structure. In contrast to the majority of the literature, we propose identification using time-varying covariates. We assume the untreated outcomes and covariates follow a common...

In an important generalization of zero frequency autoregressive unit root tests, Hylleberg, Engle, Granger, and Yoo (1990) developed regression-based tests for unit roots at the seasonal frequencies in quarterly time series. We develop likelihood ratio tests for seasonal unit roots and show that...

This paper provides tables of critical values for some popular tests of cointegration and unit roots. Although these tables are necessarily based on computer simulations, they are much more accurate than those previously available. The results of the simulation experiments are summarized by...