This paper studies the influence of aggregating across space when (i) testing the PPP theory or more generally pair-wise cointegration and (ii) evaluating the PPP puzzle. Our contribution is threefold: we show that aggregating foreign data and applying an ADF test may lead to erroneously reject...

The differences in what consumers pay for a given product in eight Texas cities increased considerably in the 2000s—Dallas being by far the most expensive city in the sample. A strong price adjustment mechanism, however, ensures that the relative price between any two Texas locations tended to...

The frequentist and the Bayesian approach to the estimation of autoregressions are often contrasted. Under standard assumptions, when the ordinary least squares (OLS) estimate is close to 1, a frequentist adjusts it upwards to counter the small sample bias, while a Bayesian who uses a at prior...

A researcher is interested in a set of variables that he wants to model with a vector auto-regression and he has a dataset with more variables. Which variables from the dataset to include in the VAR, in addition to the variables of interest? This question arises in many applications of VARs, in...

Many factors inhibiting and facilitating economic growth have been suggested. Can agnostics rely on international income data to tell them which matter? We find that agnostic priors lead to conclusions that are sensitive to differences across available income estimates. For example, the PWT 6.2...

The three essays in this dissertation address current econometric issues in international economics, market microstructure, and forecasting. In the first essay we use nonlinearities in a novel measure of the real exchange rate to estimate the cost of relocating productive capabilities. These...