In a number of time times models there are I(1) variables that appear in data sets in differenced from. This note shows that an emerging practice of assuming that observed data relates to model variables through the use of "measurement error shocks" when estimating these models can imply that...

This paper estimates determinants of long-run growth rates of GDP per capita in a cross section of countries. We propose a novel Measurement Error Model Averaging (MEMA) approach that accounts for measurement error in international income data as well as model uncertainty. Estimating the model...

We present new identification results for a class of nonseparable nonparametric simultaneous equations models introduced by Matzkin (2008). These models combine traditional exclusion restrictions with a requirement that each structural error enter through a “residual index.” Our...

Option pricing models are calibrated to market data of plain vanillas by minimization of an error functional. From the economic viewpoint, there are several possibilities to measure the error between the market and the model. These different specifications of the error give rise to different...

Proxy means test (PMT) poverty targeting tools have become common tools for beneficiary targeting and poverty assessment where full means tests are costly. Currently popular estimation procedures for generating these tools prioritize minimization of in-sample prediction errors; however, the...

This paper provides evidence of systematic errors in the way I/B/E/S reports analyst earnings forecasts. Analysis of the I/B/E/S earnings forecast database over the 1982-2014 period pinpointed a lack of consistency in the identification of financial analysts, a number of whom are consequently...

There is wide variation in how consumption is measured in household surveys both across countries and over time. This variation may confound welfare comparisons in part because these alternative survey designs produce consumption estimates that are differentially influenced by contrasting types...

When measuring inequality of opportunity, researchers usually opt to eliminate within-type variation. Provided that in practice it is impossible to observe all circumstances, this implies that the researcher estimates a lower bound of the true level of inequality of opportunity. By using data...