This paper presents a new data-driven bandwidth selector compatible with the small bandwidth asymptotics developed in Cattaneo, Crump, and Jansson (2009) for density-weighted average derivatives. The new bandwidth selector is of the plug-in variety, and is obtained based on a mean squared error...

Employing the "small bandwidth" asymptotic framework of Cattaneo, Crump, and Jansson (2009), this paper studies the properties of a variety of bootstrap-based inference procedures associated with the kernel-based density-weighted averaged derivative estimator proposed by Powell, Stock, and...

Employing the “small-bandwidth” asymptotic framework of Cattaneo, Crump, and Jansson (2009), this paper studies the properties of several bootstrap-based inference procedures associated with a kernel-based estimator of density-weighted average derivatives proposed by Powell, Stock, and...

Instrumental variables estimation can, in principle, avoid biases that ordinary least squares estimation suffers when explanatory variables are correlated with the disturbances. Finding appropriate instruments is a challenge. This paper uses seven recently published empirical papers to...

The assumption of linearity of factor models is implicit in all empirical applications used in macroeconomic analysis. We test this assumption in a more general setting than previously considered using a well-studied macroeconomic dataset on the U.S. economy, and find strong evidence in support...

Most investment decisions focus on a forecast of future events that is either explicit or implicit. Generally asset pricing models postulate a positive relationship between a stock portfolio's expected returns and risk, which is often modeled by the variance of the asset price. The essence of...

We study regime-specific systematic comovement between two large panels of variables that exhibit an approximate factor structure. Within each panel we identify threshold-type regimes through shifts in the factor loadings. For the resulting regimes, and with regard to the relation between any...

This paper uses wavelet theory to propose a frequency domain nonparametric and tuning parameter free family of unit root tests indexed by the fractional parameter d. The proposed test exploits the wavelet power spectrum of the observed series and its fractional partial sum to construct a test of...