For the panel data case where cross-sectional units are nested within higher-level groups, and there are many such groups, we propose a test that allows one to determine whether controlling for fixed effects at the more aggregate level is sufficient. The alternative is that one should allow for...

We extend the popular bias-based test of Stock and Yogo (2005) for instrument strength in linear instrumental variables regressions with multiple endogenous regressors to be robust to heteroskedasticity and autocorrelation. Equivalently, we extend the robust test of Montiel Olea and Pflueger...

We extend the popular bias-based test of Stock and Yogo (2005) for instrument strength in linear instrumental variables regressions with multiple endogenous regressors to be robust to heteroskedasticity and autocorrelation. Equivalently, we extend the robust test of Montiel Olea and Pflueger...

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...

If we conducted a competition for which statistical quantity would be the most valuable in exploratory data analysis, the winner would most likely be the correlation coefficient with a significant difference from its first competitor. In addition, most data applications contain non-normal data...

The prediction accuracy of six estimators of econometric models are compared. Two of rthe estimators are ordinary least squares (OLS) and full-information maximum likelihood. (FML). The other four estimators are robust estimators in the sense that they give less weight to large residuals. One of...

We use data on the following climate variables for the period of the last 798 thousand years: global ice volume (Icet), atmospheric carbon dioxide level (CO2,t), and Antarctic land surface temperature (Tempt). Those variables are cyclical and are driven by the following strongly exogenous...