This paper uses distribution-free formulas for the asymptotic variances of sample quantile income shares - as typically published by statistical agencies as measures of the distribution of income inequality - to calculate how large a survey sample must be in order to estimate a more refined...

Portfolio sorting is ubiquitous in the empirical finance literature, where it has been widely used to identify pricing anomalies in different asset classes. Despite the popularity of portfolio sorting, little attention has been paid to the statistical properties of the procedure or to the...

In an important class of econometric problems, researchers select a target parameter by maximizing the Euclidean norm of a data-dependent vector. Examples that can be cast into this frame include threshold regression models with estimated thresholds, and structural break models with estimated...

In an important class of econometric problems, researchers select a target parameter by maximizing the Euclidean norm of a data-dependent vector. Examples that can be cast into this frame include threshold regression models with estimated thresholds and structural break models with estimated...

We develop an exact and distribution-free procedure to test for quantile predictability at several quantile levels jointly, while allowing for an endogenous predictive regressor with any degree of persistence. The approach proceeds by combining together the quantile regression t-statistics from...

There is a long standing controversy over the magnitude of the Frisch labor supply elasticity. Macro economists using DSGE models often calibrate it to be large, while many micro data studies find it is small. Several papers attempt to reconcile the micro and macro results. We o ff er a new...

This paper proposes methods for both the consistent estimation of so-called long run canonical correlations (LRCCs) and also testing the null hypothesis that a subset of LRCCs are zero. Two test statistics are proposed and their limiting distribution is derived under the null hypothesis. It is...

This paper studies the properties of the Bayesian approach to estimation and comparison of dynamic equilibrium economies. Both tasks can be performed even if the models are nonnested, misspecified, and nonlinear. First, we show that Bayesian methods have a classical interpretation:...

This paper studies the properties of the Bayesian approach to estimation and comparison of dynamic equilibrium economies. Both tasks can be performed even if the models are nonnested, misspecified, and nonlinear. First, the authors show that Bayesian methods have a classical interpretation:...

Most of the existing literature on panel data cointegration assumes cross-sectional independence, an assumption that is difficult to satisfy. This paper studies panel cointegration under cross-sectional dependence, which is characterized by a factor structure. We derive the limiting distribution...