We study a set of fully modified (FM) estimators in multivariate cointegrating polynomial regressions. Such regressions allow for deterministic trends, stochastic trends, and integer powers of stochastic trends to enter the cointegrating relations. A new feasible generalized least squares...

We consider Partial Least Squares (PLS) estimation of a time-series forecasting model with the data containing a large number (T) of time series observations on each of a large number (N) of predictor variables. In the model, a subset or a whole set of the latent common factors in predictors are...

Randomization inference provides exact finite sample tests of sharp nulls which precisely specify the outcomes associated with randomized treatment. A growing literature shows that when based upon studentized statistics these same tests, despite incorrectly assuming an absence of heterogeneity,...