Bias correction can often improve the finite sample performance of estimators. We show that the choice of bias correction method has no effect on the higherorder variance of semiparametrically efficient parametric estimators, so long as the estimate of the bias is asymptotically linear. It is...

We propose a new approach to analyze economic shocks. Our new procedure identifies economic shocks as exogenous shifts in a function; hence, we call them "functional shocks." We show how to identify such shocks and how to trace their effects in the economy via VARs using "VARs with functional...