NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Mathematical and Quantitative Methods: Econometric and Statistical Methods and Methodology: General


2014
w20342 Charles E. Gibbons
Juan Carlos Suárez Serrato
Michael B. Urbancic

Broken or Fixed Effects?

w20325 Alberto Abadie
Susan Athey
Guido W. Imbens
Jeffrey M. Wooldridge

Finite Population Causal Standard Errors

w20303 Frank Schorfheide
Dongho Song
Amir Yaron

Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach

w20194 Francesco Bianchi
Cosmin Ilut

Monetary/Fiscal Policy Mix and Agents' Beliefs

w20130 Christian Baker
Jeremy Bejarano
Richard W. Evans
Kenneth L. Judd
Kerk L. Phillips

A Big Data Approach to Optimal Sales Taxation

w20115 Drew D. Creal
Jing Cynthia Wu

Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility

w20068 Lance Lochner
Youngki Shin

Understanding Earnings Dynamics: Identifying and Estimating the Changing Roles of Unobserved Ability, Permanent and Transitory Shocks

w19959 Guido Imbens
Matching Methods in Practice: Three Examples

w19928 Charles Courtemanche
Joshua C. Pinkston
Jay Stewart

Adjusting Body Mass for Measurement Error with Invalid Validation Data

w19792 Xu Cheng
Zhipeng Liao
Frank Schorfheide

Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities


2013
w19774 Joshua Angrist
The Perils of Peer Effects

w19712 Frank Schorfheide
Dongho Song

Real-Time Forecasting with a Mixed-Frequency VAR

w19693 S. Borağan Aruoba
Luigi Bocola
Frank Schorfheide

Assessing DSGE Model Nonlinearities

w19663 Verónica Frisancho
Kala Krishna
Sergey Lychagin
Cemile Yavas

Better Luck Next Time: Learning Through Retaking

w19590 Byeong-Je An
Andrew Ang
Turan G. Bali
Nusret Cakici

The Joint Cross Section of Stocks and Options

w19567 Steven L. Scott
Hal R. Varian

Bayesian Variable Selection for Nowcasting Economic Time Series

w19565 Frank Schorfheide
Kenneth I. Wolpin

To Hold Out or Not to Hold Out

w19506 Òscar Jordà
Moritz HP. Schularick
Alan M. Taylor

Sovereigns versus Banks: Credit, Crises, and Consequences

w19486 Michael J. Dickstein
Eduardo Morales

Accounting for Expectational and Structural Error in Binary Choice Problems: A Moment Inequality Approach

w19460 Turan G. Bali
Nusret Cakici
Robert F. Whitelaw

Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?

w19457 Roger E.A. Farmer
Vadim Khramov

Solving and Estimating Indeterminate DSGE Models

w19453 James J. Heckman
Rodrigo Pinto

Causal Analysis after Haavelmo

w19450 Charles Courtemanche
Samir Soneji
Rusty Tchernis

Modeling Area-Level Health Rankings

w19435 Hanming Fang
Xun Tang

Inference of Bidders’ Risk Attitudes in Ascending Auctions with Endogenous Entry

w19316 Orla Doyle
Colm Harmon
James J. Heckman
Caitriona Logue
Seong Moon

Measuring Investment in Human Capital Formation: An Experimental Analysis of Early Life Outcomes

w19243 Timothy N. Bond
Kevin Lang

The Black-White Education-Scaled Test-Score Gap in Grades K-7

w19152 Edward P. Herbst
Frank Schorfheide

Sequential Monte Carlo Sampling for DSGE Models

w19035 Liran Einav
Jonathan D. Levin

The Data Revolution and Economic Analysis

w18983 Martin M. Andreasen
Jesús Fernández-Villaverde
Juan Rubio-Ramírez

The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications

w18861 Carlo Cafiero
What do we Really Know about Food Security?

w18859 Gary Solon
Steven J. Haider
Jeffrey Wooldridge

What Are We Weighting For?

w18850 Patrick Bajari
Chenghuan Sean Chu
Denis Nekipelov
Minjung Park

A Dynamic Model of Subprime Mortgage Default: Estimation and Policy Implications

w18832 Jerome Adda
Christian Dustmann
Costas Meghir
Jean-Marc Robin

Career Progression, Economic Downturns, and Skills

w18719 Jeremy Lise
Costas Meghir
Jean-Marc Robin

Mismatch, Sorting and Wage Dynamics


2012
w18564 David Card
David Lee
Zhuan Pei
Andrea Weber

Nonlinear Policy Rules and the Identification and Estimation of Causal Effects in a Generalized Regression Kink Design

w18467 Domenico Giannone
Michele Lenza
Giorgio E. Primiceri

Prior Selection for Vector Autoregressions

w18449 Peter Arcidiacono
Patrick Bayer
Jason R. Blevins
Paul B. Ellickson

Estimation of Dynamic Discrete Choice Models in Continuous Time with an Application to Retail Competition

w18399 Jesus Fernandez-Villaverde
Pablo A. Guerrón-Quintana
Juan Rubio-Ramírez

Estimating Dynamic Equilibrium Models with Stochastic Volatility

w18393 Jean-Pierre H. Dube
Günter J. Hitsch
Pranav Jindal

The Joint Identification of Utility and Discount Functions From Stated Choice Data: An Application to Durable Goods Adoption

w18320 Tom Vogl
Race and the Politics of Close Elections

w18292 Michael Roach
Wesley M. Cohen

Lens or Prism? Patent Citations as a Measure of Knowledge Flows from Public Research

w18258 Péter Hudomiet
Robert J. Willis

Estimating Second Order Probability Beliefs from Subjective Survival Data

w18231 Robert F. Stambaugh
Jianfeng Yu
Yu Yuan

The Long of It: Odds that Investor Sentiment Spuriously Predicts Anomaly Returns

w18182 Marc J. Melitz
Sašo Polanec

Dynamic Olley-Pakes Productivity Decomposition with Entry and Exit

w18084 Torben G. Andersen
Tim Bollerslev
Peter F. Christoffersen
Francis X. Diebold

Financial Risk Measurement for Financial Risk Management

w17960 Timothy N. Bond
Kevin Lang

The Evolution of the Black-White Test Score Gap in Grades K-3: The Fragility of Results

w17890 Peter Arcidiacono
Patrick Bayer
Federico A. Bugni
Jonathan James

Approximating High-Dimensional Dynamic Models: Sieve Value Function Iteration

w17882 Arthur Korteweg
Morten Sorensen

Estimating Loan-to-Value and Foreclosure Behavior

w17772 James D. Hamilton
Jing Cynthia Wu

Identification and Estimation of Gaussian Affine Term Structure Models

w17755 Charles F. Manski
Identification of Preferences and Evaluation of Income Tax Policy


2011
w17698 Jerry A. Hausman
Christopher J. Palmer

Heteroskedasticity-Robust Inference in Finite Samples

w17621 Òscar Jordà
Moritz HP. Schularick
Alan M. Taylor

When Credit Bites Back: Leverage, Business Cycles, and Crises

w17561 Andrew Ang
Dennis Kristensen

Testing Conditional Factor Models

w17477 Lars Lefgren
Brennan Platt
Joseph Price

Sticking with What (Barely) Worked

w17444 Eric M. Leeper
Nora Traum
Todd B. Walker

Clearing Up the Fiscal Multiplier Morass

w17408 Alan I. Barreca
Jason M. Lindo
Glen R. Waddell

Heaping-Induced Bias in Regression-Discontinuity Designs

w17334 Jessica A. Wachter
Missaka Warusawitharana

What is the Chance that the Equity Premium Varies over Time? Evidence from Regressions on the Dividend-Price Ratio

w17317 Jesús Fernández-Villaverde
Pablo A. Guerrón-Quintana
Keith Kuester
Juan Rubio-Ramírez

Fiscal Volatility Shocks and Economic Activity

w17283 Jeremy T. Fox
Kyoo il Kim

A Simple Nonparametric Approach to Estimating the Distribution of Random Coefficients in Structural Models

w17253 Stephen P. Ryan
Catherine Tucker

Heterogeneity and the Dynamics of Technology Adoption

w17150 Òscar Jordà
Alan M. Taylor

Performance Evaluation of Zero Net-Investment Strategies

w17140 Hyungsik Roger Moon
Frank Schorfheide
Eleonora Granziera
Mihye Lee

Inference for VARs Identified with Sign Restrictions

w17112 John P. Papay
John B. Willett
Richard J. Murnane

High-School Exit Examinations and the Schooling Decisions of Teenagers: A Multi-Dimensional Regression-Discontinuity Analysis

w17095 Daniel J. Henderson
John A. List
Daniel L. Millimet
Christopher F. Parmeter
Michael K. Price

Empirical Implementation of Nonparametric First-Price Auction Models

w16997 Victor Chernozhukov
Iván Fernández-Val
Amanda E. Kowalski

Quantile Regression with Censoring and Endogeneity

w16928 Bryan S. Graham
Cristine Campos de Xavier Pinto
Daniel Egel

Efficient Estimation of Data Combination Models by the Method of Auxiliary-to-Study Tilting (AST)

w16900 Anirban Basu
Economics of Individualization in Comparative Effectiveness Research and a Basis for a Patient-Centered Health Care

w16793 Patrick M. Kline
Andres Santos

Higher Order Properties of the Wild Bootstrap Under Misspecification

w16725 Jon Faust
Simon Gilchrist
Jonathan H. Wright
Egon Zakrajsek

Credit Spreads as Predictors of Real-Time Economic Activity: A Bayesian Model-Averaging Approach

w16714 Ulrich K. Müller
James H. Stock

Forecasts in a Slightly Misspecified Finite Order VAR

w16706 Rachael E. Goodhue
Carlo Russo

Modeling Processor Market Power and the Incidence of Agricultural Policy: A Non-parametric Approach

w16679 Kyoo il Kim
Amil Petrin

A New Control Function Approach for Non-Parametric Regressions with Endogenous Variables


2010
w16567 Òscar Jordà
Moritz Schularick
Alan M. Taylor

Financial Crises, Credit Booms, and External Imbalances: 140 Years of Lessons

w16566 Joshua Angrist
Ivan Fernandez-Val

ExtrapoLATE-ing: External Validity and Overidentification in the LATE Framework

w16499 Bryan S. Graham
Guido W. Imbens
Geert Ridder

Measuring the Effects of Segregation in the Presence of Social Spillovers: A Nonparametric Approach

w16438 Hanming Fang
Yang Wang

Estimating Dynamic Discrete Choice Models with Hyperbolic Discounting, with an Application to Mammography Decisions

w16401 Yongsung Chang
Sun-Bin Kim
Frank Schorfheide

Labor-Market Heterogeneity, Aggregation, and the Lucas Critique

w16255 Jessica Wachter
Asset Allocation

w16229 Abdurrahman Aydemir
George J. Borjas

Attenuation Bias in Measuring the Wage Impact of Immigration

w16127 Patrick M. Kline
Andres Santos

A Score Based Approach to Wild Bootstrap Inference

w16073 Nikolai Roussanov
Composition of Wealth, Conditioning Information, and the Cross-Section of Stock Returns

w16045 Nicole Fortin
Thomas Lemieux
Sergio Firpo

Decomposition Methods in Economics

w16039 Nicholas A. Christakis
James H. Fowler
Guido W. Imbens
Karthik Kalyanaraman

An Empirical Model for Strategic Network Formation

w16016 John DiNardo
David S. Lee

Program Evaluation and Research Designs

w16003 Costas Meghir
Steven G. Rivkin

Econometric Methods for Research in Education

w15929 Jesús Fernández-Villaverde
Pablo A. Guerrón-Quintana
Juan Rubio-Ramírez

Reading the Recent Monetary History of the U.S., 1959-2007

w15928 Jesús Fernández-Villaverde
Pablo Guerrón-Quintana
Juan F. Rubio-Ramírez

Fortune or Virtue: Time-Variant Volatilities Versus Parameter Drifting in U.S. Data

w15850 Yacine Aït-Sahalia
Julio Cacho-Diaz
Roger J.A. Laeven

Modeling Financial Contagion Using Mutually Exciting Jump Processes

w15808 Yacine Aït-Sahalia
Jean Jacod

Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data

w15760 Thomas Barrios
Rebecca Diamond
Guido W. Imbens
Michal Kolesar

Clustering, Spatial Correlations and Randomization Inference

w15716 Patrick Kline
Andres Santos

Sensitivity to Missing Data Assumptions: Theory and An Evaluation of the U.S. Wage Structure

w15675 Russell Cooper
John C. Haltiwanger
Jonathan L. Willis

Euler-Equation Estimation for Discrete Choice Models: A Capital Accumulation Application


2009
w15570 Alejandro Justiniano
Giorgio E. Primiceri
Andrea Tambalotti

Investment Shocks and Business Cycles

w15533 Torben G. Andersen
Dobrislav Dobrev
Ernst Schaumburg

Jump-Robust Volatility Estimation using Nearest Neighbor Truncation

w15375 José-Víctor Ríos-Rull
Frank Schorfheide
Cristina Fuentes-Albero
Maxym Kryshko
Raül Santaeulàlia-Llopis

Methods versus Substance: Measuring the Effects of Technology Shocks on Hours

w15318 Yong Chen
Wayne Ferson
Helen Peters

Measuring the Timing Ability and Performance of Bond Mutual Funds

w15301 Alberto Abadie
Guido W. Imbens

Matching on the Estimated Propensity Score

w15226 James J. Heckman
Rosa L. Matzkin
Lars Nesheim

Nonparametric Identification and Estimation of Nonadditive Hedonic Models

w15211 Pedro Carneiro
James J. Heckman
Edward J. Vytlacil

Evaluating Marginal Policy Changes and the Average Effect of Treatment for Individuals at the Margin

w15210 Patrick Bajari
Jeremy T. Fox
Kyoo il Kim
Stephen P. Ryan

A Simple Nonparametric Estimator for the Distribution of Random Coefficients

w15179 James J. Heckman
Petra E. Todd

A Note on Adapting Propensity Score Matching and Selection Models to Choice Based Samples

w15160 Eric M. Leeper
Michael Plante
Nora Traum

Dynamics of Fiscal Financing in the United States

w15147 Jeremy T. Fox
Amit Gandhi

Identifying Heterogeneity in Economic Choice Models

w15122 Partha Deb
William T. Gallo
Padmaja Ayyagari
Jason M. Fletcher
Jody L. Sindelar

Job Loss: Eat, drink and try to be merry?

w15092 Jeremy T. Fox
Identification in Matching Games

w15065 William A. Brock
Steven N. Durlauf

Adoption Curves and Social Interactions

w15047 Raymond Kan
Cesare Robotti
Jay Shanken

Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology

w15025 Roger Farmer
Carine Nourry
Alain Venditti

Debt, Deficits and Finite Horizons: The Stochastic Case

w14995 Jeffrey E. Harris
Sandra G. Sosa-Rubi

Impact of "Seguro Popular" on Prenatal Visits in Mexico, 2002-2005: Latent Class Model of Count Data with a Discrete Endogenous Variable

w14934 Patrick Bajari
Jeremy Fox
Kyoo il Kim
Stephen P. Ryan

The Random Coefficients Logit Model Is Identified

w14896 Guido W. Imbens
Better LATE Than Nothing: Some Comments on Deaton (2009) and Heckman and Urzua (2009)

w14882 Hyungsik Roger Moon
Frank Schorfheide

Bayesian and Frequentist Inference in Partially Identified Models

w14872 Frank Schorfheide
Keith Sill
Maxym Kryshko

DSGE Model-Based Forecasting of Non-modelled Variables

w14860 Bryan S. Graham
Guido W. Imbens
Geert Ridder

Complementarity and Aggregate Implications of Assortative Matching: A Nonparametric Analysis

w14776 Marc-Andreas Muendler
Sascha O. Becker

Margins of Multinational Labor Substitution

w14756 Alberto Abadie
Guido Imbens

A Martingale Representation for Matching Estimators

w14726 Guido Imbens
Karthik Kalyanaraman

Optimal Bandwidth Choice for the Regression Discontinuity Estimator

w14723 David S. Lee
Thomas Lemieux

Regression Discontinuity Designs in Economics

w14710 Roger E.A. Farmer
Tao Zha
Daniel F. Waggoner

Understanding Markov-Switching Rational Expectations Models

w14677 Jesús Fernández-Villaverde
The Econometrics of DSGE Models

w14666 Jesse Rothstein
Student sorting and bias in value added estimation: Selection on observables and unobservables


2008
w14573 Kasey Buckles
Daniel M. Hungerman

Season of Birth and Later Outcomes: Old Questions, New Answers

w14469 Bryan S. Graham
James Powell

Identification and Estimation of 'Irregular' Correlated Random Coefficient Models

w14447 Debopam Bhattacharya
Pascaline Dupas

Inferring Welfare Maximizing Treatment Assignment under Budget Constraints

w14414 Liran Einav
Amy Finkelstein
Mark R. Cullen

Estimating Welfare in Insurance Markets Using Variation in Prices

w14399 Raj Chetty
Sufficient Statistics for Welfare Analysis: A Bridge Between Structural and Reduced-Form Methods

w14382 Jeremy T. Fox
Estimating Matching Games with Transfers

w14376 Bryan S. Graham
Efficiency bounds for missing data models with semiparametric restrictions

w14292 M. Ayhan Kose
Christopher Otrok
Eswar S. Prasad

Global Business Cycles: Convergence or Decoupling?

w14367 Bridget Terry Long
Michal Kurlaender

Do Community Colleges provide a Viable Pathway to a Baccalaureate Degree?

w14297 Daniel L. Millimet
Rusty Tchernis
Muna Husain

School Nutrition Programs and the Incidence of Childhood Obesity

w14284 Han Hong
Bruce Preston

Bayesian Averaging, Prediction and Nonnested Model Selection

w14215 Stephanie Schmitt-Grohe
Martin Uribe

What's News in Business Cycles

w14194 Juan Carlos Calcagno
Bridget Terry Long

The Impact of Postsecondary Remediation Using a Regression Discontinuity Approach: Addressing Endogenous Sorting and Noncompliance

w14161 Joseph G. Altonji
Hidehiko Ichimura
Taisuke Otsu

Estimating Derivatives in Nonseparable Models with Limited Dependent Variables

w14080 Christopher R. Knittel
Konstantinos Metaxoglou

Estimation of Random Coefficient Demand Models: Challenges, Difficulties and Warnings

w13999 Pedro Dal Bó
Andrew Foster
Louis Putterman

Institutions and Behavior: Experimental Evidence on the Effects of Democracy

w13981 Bryan S. Graham
Cristine Campos de Xavier Pinto
Daniel Egel

Inverse Probability Tilting for Moment Condition Models with Missing Data

w13949 Patrick Bayer
Shakeeb Khan
Christopher Timmins

Nonparametric Identification and Estimation in a Generalized Roy Model

w13905 Raj Arunachalam
Trevon Logan

Is There Dowry Inflation in South Asia?

w13788 Matthew Cary
Aparna Das
Benjamin Edelman
Ioannis Giotis
Kurtis Heimerl
Anna R. Karlin
Claire Mathieu
Michael Schwarz

On Best-Response Bidding in GSP Auctions

w13787 Marcelo Moreira
A Maximum Likelihood Method for the Incidental Parameter Problem

w13749 Timothy Cogley
Giorgio E. Primiceri
Thomas J. Sargent

Inflation-Gap Persistence in the U.S.

w13741 Marco Del Negro
Frank Schorfheide

Forming Priors for DSGE Models (and How it Affects the Assessment of Nominal Rigidities)


2007
t0344 A. Colin Cameron
Jonah B. Gelbach
Douglas L. Miller

Bootstrap-Based Improvements for Inference with Clustered Errors

t0343 Jay Bhattacharya
William B. Vogt

Do Instrumental Variables Belong in Propensity Scores?

w13401 Bernard Dumas
Alexander Kurshev
Raman Uppal

Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility

t0342 Xavier Gabaix
Rustam Ibragimov

Rank-1/2: A Simple Way to Improve the OLS Estimation of Tail Exponents

t0341 Howard Kunreuther
Gabriel Silvasi
Eric T. Bradlow
Dylan Small

Deterministic and Stochastic Prisoner's Dilemma Games: Experiments in Interdependent Security

t0339 Sergio Firpo
Nicole M. Fortin
Thomas Lemieux

Unconditional Quantile Regressions

w13228 Liran Einav
Amy Finkelstein
Paul Schrimpf

The Welfare Cost of Asymmetric Information: Evidence from the U.K. Annuity Market

w13166 Jesús Fernández-Villaverde
Juan F. Rubio-Ramírez

How Structural Are Structural Parameters?

w13165 Jessica A. Wachter
Missaka Warusawitharana

Predictable Returns and Asset Allocation: Should a Skeptical Investor Time the Market?

onb07-16 Liran Einav
Amy Finkelstein
Paul Schrimpf

The Welfare Cost of Asymmetric Information: Evidence from the U.K. Annuity Market

w13134 Kenneth D. West
Ka-fu Wong
Stanislav Anatolyev

Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments

t0338 Kenneth D. West
Ka-fu Wong
Stanislav Anatolyev

Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments

w13108 Ravi Bansal
Robert Dittmar
Dana Kiku

Cointegration and Consumption Risks in Asset Returns

w13039 Guido Imbens
Thomas Lemieux

Regression Discontinuity Designs: A Guide to Practice

t0337 Guido Imbens
Thomas Lemieux

Regression Discontinuity Designs: A Guide to Practice

w12963 Torben G. Andersen
Tim Bollerslev
Dobrislav Dobrev

No-Arbitrage Semi-Martingale Restrictions for Continuous-Time Volatility Models subject to Leverage Effects, Jumps and i.i.d. Noise: Theory and Testable Distributional Implications

w12962 Torben G. Andersen
Luca Benzoni

Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models

w12948 Lars Peter Hansen
Beliefs, Doubts and Learning: Valuing Economic Risk

w12922 Arianna Degan
Antonio Merlo

Do Voters Vote Sincerely?

t0334 Justin McCrary
Manipulation of the Running Variable in the Regression Discontinuity Design: A Density Test


2006
w12772 Jean Boivin
Marc Giannoni

DSGE Models in a Data-Rich Environment

t0332 Jean Boivin
Marc Giannoni

DSGE Models in a Data-Rich Environment

w12648 Daron Acemoglu
Victor Chernozhukov
Muhamet Yildiz

Learning and Disagreement in an Uncertain World

t0330 Richard K. Crump
V. Joseph Hotz
Guido W. Imbens
Oscar A. Mitnik

Moving the Goalposts: Addressing Limited Overlap in the Estimation of Average Treatment Effects by Changing the Estimand

t0327 A. Colin Cameron
Jonah B. Gelbach
Douglas L. Miller

Robust Inference with Multi-way Clustering

w12445 Patrick Bajari
Han Hong
Ahmed Khwaja

Moral Hazard, Adverse Selection and Health Expenditures: A Semiparametric Analysis

w12425 Patrick Bajari
Jeremy T. Fox
Stephen Ryan

Evaluating Wireless Carrier Consolidation Using Semiparametric Demand Estimation

w12422 Kyoji Fukao
Keiko Ito
Hyeog Ug Kwon
Miho Takizawa

Cross-Border Acquisitions and Target Firms' Performance: Evidence From Japanese Firm-Level Data

w12353 Lawrence J. Christiano
Martin Eichenbaum
Robert Vigfusson

Assessing Structural VARs

t0325 Alberto Abadie
Guido W. Imbens

On the Failure of the Bootstrap for Matching Estimators

t0324 Richard K. Crump
V. Joseph Hotz
Guido W. Imbens
Oscar A. Mitnik

Nonparametric Tests for Treatment Effect Heterogeneity

t0323 James H. Stock
Mark W. Watson

Heteroskedasticity-Robust Standard Errors for Fixed Effects Panel Data Regression

w12166 Gadi Barlevy
H.N. Nagaraja

Identification of Search Models with Initial Condition Problems

w12098 Wayne E. Ferson
Andrew F. Siegel

Testing Portfolio Efficiency with Conditioning Information

t0322 David S. Lee
David Card

Regression Discontinuity Inference with Specification Error

t0321 Jesus Fernandez-Villaverde
Juan F. Rubio-Ramirez

Estimating Macroeconomic Models: A Likelihood Approach

t0320 Patrick Bajari
Han Hong

Semiparametric Estimation of a Dynamic Game of Incomplete Information

w12013 Patrick Bajari
Han Hong
John Krainer
Denis Nekipelov

Estimating Static Models of Strategic Interaction

w11939 V. Joseph Hotz
Guido W. Imbens
Jacob A. Klerman

Evaluating the Differential Effects of Alternative Welfare-to-Work Training Components: A Re-Analysis of the California GAIN Program


2005
w11824 Andrew Ang
Joseph Chen
Yuhang Xing

Downside Risk

w11775 Torben G. Andersen
Tim Bollerslev
Francis X. Diebold

Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility

w11758 Bruce N. Lehmann
The Role of Beliefs in Inference for Rational Expectations Models

w11721 David S. Lee
Training, Wages, and Sample Selection: Estimating Sharp Bounds on Treatment Effects

t0319 Lan Zhang
Per A. Mykland
Yacine Ait-Sahalia

Edgeworth Expansions for Realized Volatility and Related Estimators

t0315 Jesus Fernandez-Villaverde
Juan Rubio
Manuel Santos

Convergence Properties of the Likelihood of Computed Dynamic Models

w11671 Patrick Bajari
Jeremy T. Fox

Measuring the Efficiency of an FCC Spectrum Auction

w11656 Marcela Eslava
John Haltiwanger
Adriana Kugler
Maurice Kugler

Factor Adjustments After Deregulation: Panel Evidence from Colombian Plants

w11628 David H. Autor
Lawrence F. Katz
Melissa S. Kearney

Rising Wage Inequality: The Role of Composition and Prices

w11523 Andrew T. Levin
Alexei Onatski
John C. Williams
Noah Williams

Monetary Policy Under Uncertainty in Micro-Founded Macroeconometric Models

w11517 Elena Tchernykh
William H. Branson

Regime-Switching Behavior of the Term Structure of Forward Markets

w11487 Junsoo Lee
John A. List
Mark Strazicich

Nonrenewable Resource Prices: Deterministic or Stochastic Trends?

t0308 Jesus Fernandez-Villaverde
Juan Rubio-Ramirez
Thomas J. Sargent

A, B, C's (and D)'s for Understanding VARs

t0307 Azeem Shaikh
Edward Vytlacil

Threshold Crossing Models and Bounds on Treatment Effects: A Nonparametric Analysis

w11280 Mitchell A. Petersen
Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches

t0306 James J. Heckman
Edward Vytlacil

Structural Equations, Treatment Effects and Econometric Policy Evaluation

w11263 Jay Bhattacharya
Azeem Shaikh
Edward Vytlacil

Treatment Effect Bounds: An Application to Swan-Ganz Catheterization

w11259 James J. Heckman
Edward Vytlacil

Structural Equations, Treatment Effects and Econometric Policy Evaluation

w11188 Torben G. Andersen
Tim Bollerslev
Peter F. Christoffersen
Francis X. Diebold

Volatility Forecasting

w11187 Ann M. Lawson
Brian C. Moyer
Sumiye Okubo
Mark A. Planting

Integrating Industry and National Economic Accounts: First Steps and Future Improvements


2004
w10975 Joshua D. Angrist
Guido M. Kuersteiner

Semiparametric Causality Tests Using the Policy Propensity Score

t0303 Michael Jansson
Marcelo J. Moreira

Optimal Inference in Regression Models with Nearly Integrated Regressors

t0302 Marcelo J. Moreira
Jack R. Porter
Gustavo A. Suarez

Bootstrap and Higher-Order Expansion Validity When Instruments May Be Weak

w10823 Malcolm P. Baker
Ryan Taliaferro
Jeffrey Wurgler

Pseudo Market Timing and Predictive Regressions

w10803 Christopher Avery
Mark Glickman
Caroline Hoxby
Andrew Metrick

A Revealed Preference Ranking of U.S. Colleges and Universities

t0301 Patrick Bajari
Han Hong
Stephen Ryan

Identification and Estimation of Discrete Games of Complete Information

w10786 Ricardo J. Caballero
Stavros Panageas

Contingent Reserves Management: An Applied Framework

t0300 Laurent E. Calvet
Adlai J. Fisher
Samuel B. Thompson

Volatility Comovement: A Multifrequency Approach

t0299 Donald W.K. Andrews
Marcelo Moreira
James H. Stock

Optimal Invariant Similar Tests for Instrumental Variables Regression

t0298 Nelson C. Mark
Donggyu Sul

The Use of Predictive Regressions at Alternative Horizons in Finance and Economics

w10477 Thomas Hertel
David Hummels
Maros Ivanic
Roman Keeney

How Confident Can We Be in CGE-Based Assessments of Free Trade Agreements?

w10428 Joshua Angrist
Victor Chernozhukov
Ivan Fernandez-Val

Quantile Regression under Misspecification, with an Application to the U.S. Wage Structure

w10303 Johannes Van Biesebroeck
Robustness of Productivity Estimates


2003
w10154 Ariel Pakes
Common Sense and Simplicity in Empirical Industrial Organization

w10121 Marianne Bitler
Jonah Gelbach
Hilary Hoynes

What Mean Impacts Miss: Distributional Effects of Welfare Reform Experiments

w10117 Robert F. Engle
Giampiero M. Gallo

A Multiple Indicators Model for Volatility Using Intra-Daily Data

t0294 Guido W. Imbens
Nonparametric Estimation of Average Treatment Effects under Exogeneity: A Review

w10025 William A. Brock
Steven N. Durlauf
Kenneth D. West

Policy Evaluation in Uncertain Economic Environments

w9980 C. Lanier Benkard
Patrick Bajari

Hedonic Price Indexes with Unobserved Product Characteristics, and Application to PC's

w9881 Karsten Hansen
James J. Heckman
Kathleen J. Mullen

The Effect of Schooling and Ability on Achievement Test Scores

w9819 Lawrence J. Christiano
Martin Eichenbaum
Robert Vigfusson

What Happens After a Technology Shock?

w9778 Ricardo J. Caballero
Stavros Panageas

Hedging Sudden Stops and Precautionary Contractions

w9673 David S. Bates
Maximum Likelihood Estimation of Latent Affine Processes


2002
t0287 Nelson C. Mark
Donggyu Sul

Cointegration Vector Estimation by Panel DOLS and Long-Run Money Demand

t0283 Alberto Abadie
Guido W. Imbens

Simple and Bias-Corrected Matching Estimators for Average Treatment Effects

t0279 Torben G. Andersen
Tim Bollerslev
Francis X. Diebold

Parametric and Nonparametric Volatility Measurement

t0278 George Hall
John Rust

Econometric Methods for Endogenously Sampled Time Series: The Case of Commodity Price Speculation in the Steel Market

w9052 Andrew B. Bernard
Stephen Redding
Peter K. Schott
Helen Simpson

Factor Price Equalization in the UK?

t0277 David S. Lee
Trimming for Bounds on Treatment Effects with Missing Outcomes

w8944 Yacine Ait-Sahalia
Jefferson Duarte

Nonparametric Option Pricing under Shape Restrictions

w8841 Marianne Bertrand
Esther Duflo
Sendhil Mullainathan

How Much Should We Trust Differences-in-Differences Estimates?


2001
w8682 Ravi Jagannathan
Andrew Kaplin
Steve Guoqiang Sun

An Evaluation of Multi-Factor CIR Models Using LIBOR, Swap Rates, and Cap and Swaption Prices

w8666 Jay Shanken
Ane Tamayo

Risk, Mispricing, and Asset Allocation: Conditioning on Dividend Yield

w8643 Andrew Ang
Joseph Chen
Yuhang Xing

Downside Risk and the Momentum Effect

w8602 Peter Arcidiacono
Holger Sieg
Frank Sloan

Living Rationally Under the Volcano? An Empirical Analysis of Heavy Drinking and Smoking

w8497 John Geweke
Gautam Gowrisankaran
Robert J. Town

Bayesian Inference for Hospital Quality in a Selection Model

t0273 Daniel A. Ackerberg
A New Use of Importance Sampling to Reduce Computational Burden in Simulation Estimation

t0272 Patrick Bajari
C. Lanier Benkard

Demand Estimation With Heterogeneous Consumers and Unobserved Product Characteristics: A Hedonic Approach

w8207 Andrew Ang
Geert Bekaert

Stock Return Predictability: Is it There?

w8160 Torben G. Andersen
Tim Bollerslev
Francis X. Diebold
Paul Labys

Modeling and Forecasting Realized Volatility


2000
w8041 William A. Brock
Steven N.Durlauf

Growth Economics and Reality

t0264 Francis X. Diebold
Atsushi Inoue

Long Memory and Regime Switching

t0263 Charles F. Manski
Using Studies of Treatment Response to Inform Treatment Choice in Heterogeneous Populations

w7950 James J. Heckman
Justin L. Tobias
Edward Vytlacil

Simple Estimators for Treatment Parameters in a Latent Variable Framework with an Application to Estimating the Returns to Schooling

t0261 Alberto Abadie
Bootstrap Tests for the Effect of a Treatment on the Distribution of an Outcome Variable

t0260 Alberto Abadie
Semiparametric Estimation of Instrumental Variable Models for Causal Effects

w7852 Nina Pavcnik
Trade Liberalization, Exit, and Productivity Improvements: Evidence from Chilean Plants

w7844 Rajeev Dehejia
Was There a Riverside Miracle? A Framework for Evaluating Multi-Site Programs

w7831 Joseph G. Altonji
Todd E. Elder
Christopher R. Taber

Selection on Observed and Unobserved Variables: Assessing the Effectiveness of Catholic Schools

t0258 William Brock
Steven N. Durlauf

Interactions-Based Models

t0257 Dean R. Hyslop
Guido W. Imbens

Bias from Classical and Other Forms of Measurement Error

t0255 Wouter J. den Haan
Andrew T. Levin

Robust Covariance Matrix Estimation with Data-Dependent VAR Prewhitening Order

w7699 Jonathan Lewellen
Jay Shanken

Estimation Risk, Market Efficiency, and the Predictability of Returns


1999
w7439 Julio J. Rotemberg
A Heuristic Method for Extracting Smooth Trends from Economic Time Series

w7341 Robert F. Engle
Simone Manganelli

CAViaR: Conditional Value at Risk by Quantile Regression

w7333 James L. Heckman
Causal Parameters and Policy Analysis in Economcs: A Twentieth Century Retrospective

w7257 Lawrence J. Christiano
Terry J. Fitzgerald

The Band Pass Filter

w7235 Thomas J. Kane
Cecilia Elena Rouse
Douglas Staiger

Estimating Returns to Schooling When Schooling is Misreported

w7131 Jinyong Hahn
Petra Todd
Wilbert Van der Klaauw

Evaluating the Effect of an Antidiscrimination Law Using a Regression-Discontinuity Design

t0241 Joshua D. Angrist
Jinyong Hahn

When to Control for Covariates? Panel-Asymptotic Results for Estimates of Treatment Effects

t0240 Robert F. Stambaugh
Predictive Regressions

w7056 Andrew Ang
Geert Bekaert

International Asset Allocation with Time-Varying Correlations

w6954 Rajeev Dehejia
Program Evaluation as a Decision Problem

w6944 Steven D. Levitt
Jack Porter

Estimating the Effect of Alcohol on Driver Risk Using Only Fatal Accident Statistics

w6928 Francis X. Diebold
Lutz Kilian

Unit Root Tests Are Useful for Selecting Forecasting Models

w6927 Daniel S. Hamermesh
The Art of Labormetrics


1998
w6829 Rajeev H. Dehejia
Sadek Wahba

Propensity Score Matching Methods for Non-experimental Causal Studies

w6759 Soren Blomquist
Matias Eklof
Whitney Newey

Tax Reform Evaluation Using Nonparametric Methods: Sweden 1980 - 1991

t0234 Glenn Ellison
Sara Fisher Ellison

A Simple Framework for Nonparametric Specification Testing

w6699 James Heckman
Hidehiko Ichimura
Jeffrey Smith
Petra Todd

Characterizing Selection Bias Using Experimental Data

w6666 Torben G. Anderson
Tim Bollerslev
Ashish Das

Testing for Market Microstructure Effects in Intraday Volatility: A Reassessment of the Tokyo FX Experiment

w6586 Rajeev H. Dehejia
Sadek Wahba

Causal Effects in Non-Experimental Studies: Re-Evaluating the Evaluation of Training Programs

w6533 Jason G. Cummins
Taxation and the Sources of Growth: Estimates from United States Multinational Corporations

t0229 Alberto Abadie
Joshua D. Angrist
Guido W. Imbens

Instrumental Variables Estimation of Quantile Treatment Effects

t0222 Yacine Ait-Sahalia
Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach


1997
w6228 Francis X. Diebold
Anthony S. Tay
Kenneth F. Wallis

Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters

t0214 John M. Abowd
Bruno Crepon
Francis Kramarz

Moment Estimation with Attrition


1996
t0206 Yin-Wong Cheung
Menzie D. Chinn

Further Investigation of the Uncertain Unit Root in GNP

w5793 Michael F. Bryan
Stephen G. Cecchetti

Inflation and the Distribution of Price Changes

t0198 James H. Stock
Jonathan Wright

Asymptotics for GMM Estimators with Weak Instruments

w5631 David Neumark
William Wascher

Is the Time-Series Evidence on Minimum Wage Effects Contaminated by Publication Bias?

t0197 Wouter J. Den Haan
Andrew T. Levin

A Practitioner's Guide to Robust Covariance Matrix Estimation

t0123 Gilbert E. Metcalf
Specification Testing in Panel Data With Instrumental Variables

t0196 Matthew D. Shapiro
David W. Wilcox

Generating Non-Standard Multivariate Distributions with an Application to Mismeasurement in the CPI

t0195 Wouter J. Den Haan
Andrew Levin

Inferences from Parametric and Non-Parametric Covariance Matrix Estimation Procedures

t0194 Francis X. Diebold
Til Schuermann

Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models

w5479 Yacine Ait-Sahalia
Dynamic Equilibrium and Volatility in Financial Asset Markets


1995
w5314 David Genesove
Wallace P. Mullin

Validating the Conjectural Variation Method: The Sugar Industry, 1890- 1914

t0185 James J. Heckman
Instrumental Variables: A Cautionary Tale

t0184 James J. Heckman
Randomization as an Instrumental Variable

w5093 John DiNardo
Nicole M. Fortin
Thomas Lemieux

Labor Market Institutions and the Distribution of Wages, 1973-1992: A Semiparametric Approach

t0177 Lawrence J. Christiano
Wouter J. Den Haan

Small Sample Properties of GMM for Business Cycle Analysis

t0176 Kenneth D. West
David W. Wilcox

A Comparison of Alternative Instruments Variables Estimators of a Dynamic Linear Model

t0174 Francis X. Diebold
Lee E. Ohanian
Jeremy Berkowitz

Dynamic Equilibrium Economies: A Framework for Comparing Models and Data

t0173 Francis X. Diebold
Jose A. Lopez

Measuring Volatility Dynamics

t0144 Kenneth D. West
Whitney K. Newey

Automatic Lag Selection in Covariance Matrix Estimation


1994
t0171 Michael T. K. Horvath
Mark W. Watson

Testing for Cointegration When Some of the Contributing Vectors are Known

t0170 Bruce D. Meyer
Natural and Quasi- Experiments in Economics

t0169 Francis X. Diebold
Robert S. Mariano

Comparing Predictive Accuracy

t0159 Andrew B. Bernard
Steven N. Durlauf

Interpreting Tests of the Convergence Hypothesis

t0155 Craig Burnside
Martin Eichenbaum

Small Sample Properties of Generalized Method of Moments Based Wald Tests


1993
t0141 Lars Peter Hansen
Jose Alexandre Scheinkman

Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes

t0140 Robert F. Stambaugh
Estimating Conditional Expectations when Volatility Fluctuates


1992
t0126 J. Joseph Beaulieu
Jeffrey A. Miron

Seasonal Unit Roots in Aggregate U.S. Data


Generated Fri Aug 1 00:00:28 2014

 
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