DSGE models with generalized shock processes have been a major area of research in recent years. In this paper, I show that the structural parameters governing DSGE models are not identified when the driving process behind the model follows an unrestricted VAR. This finding implies that...

This paper is concerned with developing uniform confidence bands for functions estimated nonparametrically with instrumental variables. We show that a sieve nonparametric instrumental variables estimator is pointwise asymptotically normally mental variables estimator is pointwise asymptotically...

Over much of the past 25 years, the cycles of house price and consumption growth have been closely synchronised. Three main hypotheses for this co-movement have been proposed in the literature. First, that an increase in house prices raises households' wealth, particularly for those in a...

This paper considers data quality issues for the analysis of consumption inequality exploiting two complementary datasets from the Consumer Expenditure Survey for the United States. The Interview sample follows survey households over four calendar quarters and consists of retrospectively asked...

Reliable measures of obesity are essential in order to develop effective policies to tackle the costs of obesity. In this paper we examine what, if anything, we can learn about obesity rates using self-reported BMI once we allow for possible measurement error. We combine self-reported data on...

Journals favor rejection of the null hypothesis. This selection upon tests may distort the behavior of researchers. Using 50,000 tests published between 2005 and 2011 in the AER, JPE, and QJE, we identify a residual in the distribution of tests that cannot be explained by selection. The...

Despite the recovery of economic growth in Latin America during the 1990s, rising unemployment, high informality rates and sluggish wages lie at the root of high inequality and poverty. This paper looks at changes in hourly earnings from the early 1990s to the early 2000s in three relatively...

We develop a new estimation methodology for dynamic optimization models with unobserved state variables Our approach is semiparametric in the sense of not requiring explicit parametric assumptions to be made concerning the distribution of these unobserved state variables We propose a two-step...

Focussing on the prime example of CO2 emissions, we discuss several important theoretical and econometric problems that arise when studying environmental Kuznets curves (EKCs). The dominant theoretical approach is given by integrated assessment modelling, which consists of economic models that...

We investigate autoregressive approximations of multiple frequency I(1) processes. The underlying data generating process is assumed to allow for an infinite order autoregressive representation where the coefficients of the Wold representation of the suitably filtered process satisfy mild...