The quantity equation is a well-established, theoretic, long-run concept that has been criticized for a variety of reasons, i.e., that no precise statements about causality or dynamics between money growth and inflation can be inferred from its components. These shortcomings can be tackled by...

We introduce a robust, flexible and easy-to-implement method for estimating the yield curve from Treasury securities. This method is non-parametric and optimally learns basis functions in reproducing Hilbert spaces with an economically motivated smoothness reward. We provide a closed-form...

Cluster-robust inference is widely used in modern empirical work in economics and many other disciplines. The key unit of observation is the cluster. We propose measures of "high-leverage" clusters and "influential" clusters for linear regression models. The measures of leverage and partial...

Financial returns modelling assumes that price returns are normally distributed, which is problematic because it fails to capture “fat tails”, or extreme price swings, that are commonly observed in the financial markets. This has led to increased interest in alternative distribution models...

Scaling behavior measured in cross-sectional studies through the tail index of a power law is prone to a bias. This hampers inference; in particular, observed time variation in estimated tail indices may be more apparent than real. In the case of a linear factor model, the factors bias the tail...

We consider estimation procedures for estimating average treatment effects in constant and heterogenous coefficients endogenous switching models with binary treatment. We allow for additional heterogeneity by allowing for nonparametric heteroskedasticity in the latent error in the treatment...

Quah's [1993a] transition matrix analysis of world income distribution based on annual data suggests an ergodic distribution with twin peaks at the rich and poor end of the distribution. Since the ergodic distribution is a highly non-linear function of the underlying transition matrix estimated...