We develop a sequential Monte Carlo (SMC) algorithm for estimating Bayesian dynamic stochastic general equilibrium (DSGE) models; wherein a particle approximation to the...

This paper investigates small-sample biases in synthetic cohort models (repeated cross-sectional data grouped at the cohort and year level) in the context of a female labor...

We present finite sample evidence on different IV estimators available for linear models under weak instruments; explore the application of the bootstrap as a bias reduction...

This paper studies subsampling hypothesis tests for panel data that may be nonstationary, cross-sectionally correlated, and cross-sectionally cointegrated. The subsampling...

Using data from the first 11 waves of the BHPS, this paper measures the extent of the selection bias induced by standard coresidence conditions-bias that is expected to be...

Although the asset data from the Health and Retirement Study (HRS) is of very high quality, there is sufficient noise to frustrate attempts to study saving behaviour by...

In economic research, it is often important to express the marginal value of a variable in monetary terms. In random coefficient models, this marginal monetary value is the...

Using Monte Carlo simulations we study the small sample performance of the traditional TSLS, the LIML and four new jackknife IV estimators when the instruments are weak. We find...