In this paper, we extend the results in Hansen (1982) regarding the asymptotic distribution of GMM sample moment conditions. In particular, we show that the part of the scaled sample moment conditions that gives rise to degeneracy in the asymptotic normal distribution is T-consistent and has a...

In this paper, we extend the results in Hansen (1982) regarding the asymptotic distribution of generalized method of moments (GMM) sample moment conditions. In particular, we show that the part of the scaled sample moment conditions that gives rise to degeneracy in the asymptotic normal...

In this paper, we provide an exact finite sample analysis of predictive regressions with overlapping long-horizon returns. This analysis allows us to evaluate the reliability of various asymptotic theories for predictive regressions in finite samples. In addition, our finite sample analysis...

We present a simple stochastic representation for the joint distribution of sample estimates of three scalar parameters and two vectors of portfolio weights that characterize the minimum-variance frontier. This stochastic representation is useful for sampling observations efficiently, deriving...

How can we use the novel capacities of large language models (LLMs) in empirical research? And how can we do so while accounting for their limitations, which are themselves only poorly understood? We develop an econometric framework to answer this question that distinguishes between two types of...

This paper considers the problem of estimating the distribution of payoffs in a discrete dynamic game, focusing on models where the goal is to learn about the distribution of firms' entry and exit costs. The idea is to begin with non parametric first stage estimates of entry and continuation...

One of the areas of policy research where randomized field trials have been utilized most intensively is welfare reform. Starting in the late 1960s with experimental tests of a negative income tax and continuing through current experimental tests of recent welfare reforms, randomized evaluations...