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Working Paper
Local Projections
Jordà, Òscar; Taylor, Alan M. (2024-08-12)
A central question in applied research is to estimate the effect of an exogenous intervention or shock on an outcome. The intervention can affect the outcome and controls on impact and over time. Moreover, there can be subsequent feedback between outcomes, controls and the intervention. Many of these interactions can be untangled using local projections. This method’s simplicity makes it a convenient and versatile tool in the empiricist’s kit, one that is generalizable to complex settings. This article reviews the state-of-the art for the practitioner, discusses best practices and ...
Working Paper Series , Paper 2024-24

Working Paper
Analysis of Multiple Long Run Relations in Panel Data Models with Applications to Financial Ratios
Chudik, Alexander; Pesaran, M. Hashem; Smith, Ron P. (2025-08-20)
This paper provides a new methodology for the analysis of multiple long-run relations in panel data models where the cross-section dimension, n, is large relative to the time-series dimension, T. For panel data models with large n, researchers have focused on panels with a single long-run relationship. The main difficulty has been to eliminate short-run dynamics without generating significant uncertainty for identification of the long run. We overcome this problem by using non-overlapping sub-sample time averages as deviations from their full-sample counterpart and estimating the number of ...
Working Papers , Paper 2523

Working Paper
Estimating Taxable Income Responses with Elasticity Heterogeneity
Kumar, Anil; Liang, Che-Yuan (2016-11-01)
We extend a standard taxable income model with its typical functional-form assumptions to account for nonlinear budget sets. We propose a new method to estimate taxable income elasticity that is more policy relevant than the typically estimated elasticity based on linearized budget sets. Using U.S. data from the NBER tax panel for 1979-1990 and differencing methods, we estimate an elasticity of 0.75 for taxable income and 0.20 for broad income. These estimates are higher than those obtained by specifications based on linearization. Our approach offers a new way to address the problem of ...
Working Papers , Paper 1611

Working Paper
Analysis of Multiple Long Run Relations in Panel Data Models with Applications to Financial Ratios
Chudik, Alexander; Pesaran, M. Hashem; Smith, Ron P. (2025-06-05)
This paper provides a new methodology for the analysis of multiple long-run relations in panel data models where the cross-section dimension, n, is large relative to the time-series dimension, T. For panel data models with large n, researchers have focused on panels with a single long-run relationship. The main difficulty has been to eliminate short-run dynamics without generating significant uncertainty for identification of the long run. We overcome this problem by using non-overlapping sub-sample time averages as deviations from their full-sample counterpart and estimating the number of ...
Working Papers , Paper 2523

Working Paper
Understanding Preferences for Payment Cards using Household Scanner Data
Rysman, Marc; Wang, Shuang; Wozniak, Krzysztof (2025-10-31)
We use consumer panel scanner data to examine households' payment choices, a new application of such data. In particular, we study the long-term shift towards payment cards, as well as the role of transaction size in determining choices. We find that idiosyncratic household preferences are a key driver of payment choice. Our estimates suggest that transaction size, while important, may have a smaller effect on payment choice than previously thought, and that the effect varies substantially across households. Our results further suggest that idiosyncratic household preferences evolve slowly ...
Finance and Economics Discussion Series , Paper 2025-096

Working Paper
Density Forecasts in Panel Data Models : A Semiparametric Bayesian Perspective
Liu, Laura (2018-05-22)
This paper constructs individual-specific density forecasts for a panel of firms or households using a dynamic linear model with common and heterogeneous coefficients and cross-sectional heteroskedasticity. The panel considered in this paper features a large cross-sectional dimension N but short time series T. Due to the short T, traditional methods have difficulty in disentangling the heterogeneous parameters from the shocks, which contaminates the estimates of the heterogeneous parameters. To tackle this problem, I assume that there is an underlying distribution of heterogeneous parameters, ...
Finance and Economics Discussion Series , Paper 2018-036

Journal Article
Where Do the Wealthiest Get Their Wealth?
Ozkan, Serdar (2023-05-08)
An analysis using data from Norway identifies the top 0.1% of wealth accumulators and then traces how their wealth evolved from their 20s to their 50s.
The Regional Economist

Working Paper
Climate Change and the Geography of the U.S. Economy
Leduc, Sylvain; Wilson, Daniel J. (2023-11-01)
This paper examines how the spatial distribution of people and jobs in the United States has been and will be impacted by climate change. Using novel county-level weather data from 1951 to 2020, we estimate the longer-run effects of climate on local population, employment, wages, and house prices using a panel polynomial distributed lag (PDL) model. This model and the long historical data help capture important aspects of local climate changes, such as trends in temperature. The historical results point to long-lasting negative effects of extreme temperatures on each of the outcomes examined. ...
Working Paper Series , Paper 2023-17

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