This paper explores weak identification issues arising in commonly used models of economic and financial time series. Two highly popular configurations are shown to be asymptotically observationally equivalent: one with long memory and weak autoregressive dynamics, the other with antipersistent...

This paper estimates the presence of a phenomenon called the Deaton Paradox in Europe. Using the panel data for 24 European countries running from 2000 to 2021 we aim to estimate whether the anomaly of consumption smoothing is present in Europe. In order to do so, we use the generalised method...

We propose a semiparametric method to estimate the average treatment effect under the assumption of unconfoundedness given observational data. Our estimation method alleviates misspecification issues of the propensity score function by estimating the single-index link function involved through...

The recent literature has underscored the importance of properly accounting for nonstationarity in the application of the synthetic control methods and proposed inference methods to do so. This note studies the size properties of the method proposed by Masini and Medeiros (2022) through...

We study inference for threshold regression in the context of a large panel factor model with common stochastic trends. We develop a Least Squares estimator for the threshold level, deriving almost sure rates of convergence and proposing a novel, testing based, way of constructing confidence...

This paper derives a novel representation of the exponential discounting model that allows me to set identify the discount factor while accounting for ostensible deviations from optimal behavior. I interpret these deviations as a by-product of measurement error. My approach uses a revealed...

In recent years, wholesale pork prices have experienced large price swings. While supply changes have likely contributed to these price swings, demand for pork bellies, which is the primal cut that is cured into bacon, has grown. We determine the impact of changes in belly prices on the dynamics...

This paper studies asymptotic theory for a nonstationary panel autoregressive model when cross-sectional dimension (n) and time dimension (T) are large. We considers the nonstationary case in the presence of both cross-sectional and time fixed effects, which is not investigated in existing...

This paper studies asymptotic theory for a nonstationary panel autoregressive model when cross-sectional dimension (n) and time dimension (T) are large. We considers the nonstationary case in the presence of both cross-sectional and time fixed effects, which is not investigated in existing...

In this paper we study the finite sample and asymptotic properties of various weighting estimators of the local average treatment effect (LATE), several of which are based on Abadie (2003)'s kappa theorem. Our framework presumes a binary endogenous explanatory variable ("treatment") and a binary...