Replication files for peer-reviewed article published in The Econometrics Journal. Paper published online December 22, 2025. When citing this dataset, please also cite th[...]

Using a novel dataset for the US states, this paper examines whether household debt and the protracted debt deleveraging help explain the dismal performance of US consump[...]

In this note, I extend the optimal asymptotic least squares estimation framework to deal with singularities in the asymptotic covariance of the distance function. Further[...]

We study the extent of empirical information that can be obtained from alternative structural New Keynesian inflation equations concerning the average duration of prices [...]

We use identification-robust methods to assess a New Keynesian Phillips Curve (NKPC) equation. We focus on the Gali - Gertler [1999. Inflation dynamics: a structural econ[...]

This paper proposes using the Gaussian approximation, also known as quantile coupling, to estimate a quantile model. The quantile coupling allows one to apply the standar[...]

Forecast combinations, also known as ensemble models, routinely require practitioners to select a model from a massive number of potential candidates. Ten explanatory var[...]

This paper studies identification, estimation, and inference of a weighted average treatment effect (W-ATE) parameter in a class of switching regime models, where the age[...]

We develop a new methodology to estimate the impact of a financial transaction tax (FTT) on financial market outcomes. In our sequential trading model, there are price-el[...]

Estimation of the quantile model, especially with a large data set, can be computationally burdensome. This paper proposes using the Gaussian approximation, also known as[...]