Critical Values Robust to P-hacking (with Pascal Michaillat), forthcoming at Review of Economics and Statistics
Short and Simple Confidence Intervals when the Directions of Some Effects are Known (with Philipp Ketz), Review of Economics and Statistics, 107 (2025), 820-834.
Matlab Code, Stata code available from SSC archive: type "ssc install ssci"
Hybrid Confidence Intervals for Informative Uniform Asymptotic Inference After Model Selection, Biometrika, 111 (2024), 109-127.
Stata package implementation by Kirill Kushnarev (Trinity College Dublin)
Inference on Winners (with Isaiah Andrews and Toru Kitagawa), Quarterly Journal of Economics, 139 (2024), 305-358.
2019 Version (referenced in "Inference After Estimation of Breaks")
Inference for Losers (with Isaiah Andrews, Dillon Bowen and Toru Kitagawa), American Economic Association Papers and Proceedings, 112 (2022), 635-640.
Inference After Estimation of Breaks (with Isaiah Andrews and Toru Kitagawa), Journal of Econometrics, 224 (2021), 39-59.
Asymptotically Uniform Tests After Consistent Model Selection in the Linear Regression Model, Journal of Business and Economic Statistics, 38 (2020), 810-825.
Estimation and Inference with a (Nearly) Singular Jacobian (with Sukjin Han), Quantitative Economics, 10 (2019), 1019-1068.
Bonferroni-Based Size-Correction for Nonstandard Testing Problems, Journal of Econometrics, 200 (2017), 17-35.
Parameter Estimation Robust to Low-Frequency Contamination (with Jonathan B. Hill), Journal of Business and Economic Statistics, 35 (2017), 598-610.
Memory Parameter Estimation in the Presence of Level Shifts and Deterministic Trends (with Pierre Perron), Econometric Theory, 29 (2013), 1196-1237.
Estimation of the Long-Memory Stochastic Volatility Model Parameters that is Robust to Level Shifts and Deterministic Trends, Journal of Time Series Analysis, 34 (2013), 285-301.
Dynamic Local Average Treatment Effects in Time Series (with Alessandro Casini, Luca Rolla and Raimondo Pala)
Uniform Critical Values for Likelihood Ratio Tests in Boundary Problems (with Giuseppe Cavaliere, Rasmus Pedersen and Anders Rahbek)
Identification, Estimation and Inference in High-Frequency Event Study Regressions (with Alessandro Casini)
Inference for Interval-Identified Parameters Selected from an Estimated Set (with Sukjin Han), revise and resubmit at Quantitative Economics
Adam McCloskey
Department of Economics
University of Colorado at Boulder
256 UCB
Boulder, CO 80309
Phone: (303) 735-7908 Fax: (303) 492-8960 E-mail: adam.mccloskey@colorado.edu