The paper highlights causal inference based on econometric measurement in real-time data environments. Each state has a probability of being realized in real-time. We define state selection bias as arising when real-time environments are ignored. We model indicator variables as measurements that...

For predictive quantile regressions with highly persistent regressors, a conventional test statistic suffers from a serious size distortion and its limiting distribution relies on the unknown persistence degree of predictors. This paper proposes a double-weighted approach to offer a robust...