We investigate persistence in CRSP monthly excess stock returns, using a state space model with stable disturbances. The non-Gaussian state space model with volatility persistence is estimated by maximum likelihood, using the optimal filtering algorithm given by Sorenson and Alspach (1971). The...

We estimate a multi-country multi-sector New Keynesian model to quantify the drivers of domestic inflation during 2020-2023 in several countries, including the United States. The model matches observed inflation together with sector-level prices and wages. We further measure the relative...

We propose a conformant likelihood estimator with exogeneity restrictions (CLEER) for random coefficients discrete choice demand models that is applicable in a broad range of data settings. It combines the likelihoods of two mixed logit estimators--one for consumer level data, and one for...

Many US federal agencies model the economic and budgetary effects of research and development (R&D) investments -- both public R&D and private R&D -- as if R&D were the same as any other form of investment, such as physical capital investment. However, in recent decades a broad base of evidence...