We construct the large sample distributions of the OLS and GLS R^2’s of the second pass regression of the Fama-MacBeth (1973) two pass procedure when the observed proxy factors are minorly correlated with the true unobserved factors. This implies an unexplained factor structure in the first...

Long-run restrictions are a very popular method for identifying structural vector autoregressions, but they suffer from weak identification when the data is very persistent, i.e., when the highest autoregressive roots are near unity. Near unit roots introduce additional nuisance parameters and...

In contrast with a large body of existing literature, Nekoei and Weber (2017, NW henceforth) find a positive effect of unemployment insurance on job quality. This comment shows that NW's finding is driven by unnecessarily large bandwidths used in their regression discontinuity analysis. When the...

The reliability of traditional asset pricing tests depends on: (1) correlations between asset returns and factors; (2) the time-series sample size T compared to the number of assets N. For macro-risk factors, like consumption growth, (1)-(2) are often such that traditional tests cannot be...