This paper develops a method to select the threshold in threshold-based jump detection methods. The method is motivated by an analysis of threshold-based jump detection methods in the context of jump-diffusion models. We show that over the range of sampling frequencies a researcher is most...

This paper examines the asymptotic risk of nested least-squares averaging estimators when the averaging weights are selected to minimize a penalized least-squares criterion. We find conditions under which the asymptotic risk of the averaging estimator is globally smaller than the unrestricted...

This paper considers robust estimation of moment condition models with time series data. Researchers frequently use moment condition models in dynamic econometric analysis. These models are particularly useful when one wishes to avoid fully parameterizing the dynamics in the data. It is...

We propose a Laplace stochastic frontier model as an alternative to the traditional model with normal errors. An interesting feature of the Laplace model is that the distribution of inefficiency conditional on the composed error is constant for positive values of the composed error, but varies...

This paper examines the asymptotic risk of nested least-squares averaging estimators when the averaging weights are selected to minimize a penalized least-squares criterion. We find conditions under which the asymptotic risk of the averaging estimator is globally smaller than the unrestricted...

An interesting puzzle in estimating the effect of education on labor market earnings (Card (2001)) is that the 2SLS estimate for the return to schooling typically exceeds the OLS estimate, but the 2SLS estimate is fairly imprecise. We provide a new explanation that it could be due to the...

Macroeconomic forecasts are often based on the interaction between econometric models and experts. A forecast that is based only on an econometric model is replicable and may be unbiased, whereas a forecast that is not based only on an econometric model, but also incorporates expert intuition,...