Many time-series exhibit "long memory": Their autocorrelation function decays slowly with lag. This behavior has traditionally been modeled via unit roots or fractional Brownian motion and explained via aggregation of heterogenous processes, nonlinearity, learning dynamics, regime switching or...

We provide a solution to the open problem of bandwidth selection for the nonparametric estimation of potentially non-stationary regressions, a setting in which the popular method of cross-validation has not been justified theoretically. Our procedure is based on minimizing moment conditions...

This note establishes that the fully nonparametric classical errors-in-variables model is identifiable from data on the regressor and the dependent variable alone, unless the specification is a member of a very specific parametric family. This family includes the linear specification with...

This paper formulates and estimates multistage production functions for children's cognitive and noncognitive skills. Skills are determined by parental environments and investments at different stages of childhood. We estimate the elasticity of substitution between investments in one period and...