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It is now well known that standard asymptotic inference techniques for instrumental variable estimation perform very poorly in the presence of weak instruments. Specifically, standard asymptotic techniques give spuriously small standard errors, leading investigators to accept apparently tight...
Persistent link: https://www.econbiz.de/10005699389
Two widely used methods of decomposing GDP into trend and cycle yield starkly different results. The unobserved component approach implies smooth trend with large, persistent cycle. In contrast, the Beveridge and Nelson (1981) approach implies most of the variation is attributable to trend. This...
Persistent link: https://www.econbiz.de/10005699559
It is now well known that standard asymptotic inference techniques for instrumental variable estimation perform very poorly in the presence of weak instruments. Specifically, standard asymptotic techniques give spuriously small standard errors, leading investigators to accept apparently tight...
Persistent link: https://www.econbiz.de/10005119135
Several recent papers conclude that U.S. real GDP is trend stationary, implying that all shocks are transitory and long run path is deterministic. These inferences fail to take into account two problems: the distortion of test size in finite samples due to data-based model selection, and the...
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