This paper proposes two consistent model selection procedures for factor-augmented regressions in finite samples. We first demonstrate that the usual cross-validation is inconsistent, but that a generalization, leave-d-out cross-validation, selects the smallest basis for the space spanned by the...

When analyzing what determines the efficiency of production, regressing efficiency scores estimated by DEA on explanatory variables has much intuitive appeal. Simar and Wilson (2007) show that this nai͏̈ve two-stage estimation procedure suffers from severe flaws, that render its results, and...

The bootstrap is a convenient tool for calculating standard errors of the parameter estimates of complicated econometric models. Unfortunately, the bootstrap can be very time-consuming. In a recent paper, Honoré and Hu (2017), we propose a "Poor (Wo)man's Bootstrap" based on one-dimensional...