Official statistics increasingly make use of higher-frequency time series. But when users ultimately are interested in a seasonally adjusted temporal aggregate of these data, we have to decide whether to perform seasonal adjustment or aggregation first. Consequently, we must weigh up the...

We propose a new approach to estimate selection-corrected quantiles of the gender wage gap. Our method employs instrumental variables that explain variation in the latent variable but, conditional on the latent process, do not directly affect selection. We provide semiparametric identification...

In this paper, we present the empirical methodology used to estimate the Levy Institute Measure of Time and Income Poverty (LIMTIP) for the United States over the period 2007-2022. We provide a step-by-step account of the statistical matching procedure employed to construct a synthetic dataset...

This paper analyzes factors affecting school absenteeism due to an injury or illness among the US school student population between 6 and 15 years of age. The number of missed school days displays overdispersion and is modeled using the Finite Mixture Roy (FMR) model for count variables. The...

Firms respond heterogeneously to aggregate fluctuations, yet standard linear models impose restrictive assumptions on firm sensitivities. Applying the Generalized Random Forest to U.S. firm-level data, we document strong nonlinearities in how firm characteristics shape responses to macroeconomic...

This paper develops a novel method to estimate a latent factor model for a large target panel with missing observations by optimally using the information from auxiliary panel data sets. We refer to our estimator as target-PCA. Transfer learning from auxiliary panel data allows us to deal with a...

Personalized or contextual pricing is widespread practice in a number of revenue management problems. A pricing algorithm or platform utilizes a user’s personal data to make the most profitable pricing decisions that could vary among individuals. In this paper, we study the question of...

We formulate a price discovery model in which the price discovery measures vary either locally, say, for instance, at intervals of 30 minutes or at a daily frequency. Given the empirical and theoretical evidence that price discovery measures relate to highly persistent fundamentals, we adopt a...

Does Financial Action Task Force (FATF) grey-listing disrupt cross-border financial flows? The answer is not obvious. Grey-listing imposes no formal transaction restrictions, yet it can trigger compliance responses by financial institutions facing heightened regulatory risk and the prospect of...