In an important class of econometric problems, researchers select a target parameter by maximizing the Euclidean norm of a data-dependent vector. Examples that can be cast into this frame include threshold regression models with estimated thresholds, and structural break models with estimated...

We propose estimators of the memory parameter of a time series that are robust to a wide variety of random level shift processes, deterministic level shifts and deterministic time trends. The estimators are simple trimmed versions of the popular log-periodogram regression estimator that employ...

Statistically significant results are more rewarded than insignificant ones, so researchers have the incentive to pursue statistical significance. Such p-hacking reduces the informativeness of hypothesis tests by making significant results much more common than they are supposed to be in the...