Details about Daniel J. Lewis

Access statistics for papers by Daniel J. Lewis.

Last updated 2026-04-12. Update your information in the RePEc Author Service.

Short-id: ple1010

Working Papers

2026

1. Identifying Relationship-level Effects Using Covariance Restrictions
   CEPR Discussion Papers, Centre for Economic Policy Research
   Also in CeMMAP working papers, Institute for Fiscal Studies (2026)
   Working Paper Series, European Central Bank (2026)
2. We propose a new model in which relationship-specific effects or shocks are identified in a bipartite network under mild covariance restrictions, generalizing the influential Abowd et al. (1999) framework. For example, separate demand shocks are identified for each bank from which a firm borrows. We show how previous approaches break down when confronted with such heterogeneity, while our novel identification strategy yields a simple estimator that is consistent and asymptotically normal, under weaker network density assumptions than previous approaches. The methodology performs well in empirically-calibrated simulations. We apply our approach to identify relationship-level credit demand and supply shocks for thousands of firms and banks across nine Euro-area countries and three distinct economic episodes. We formally reject the Abowd et al. (1999) assumptions in nearly every country-period and show that within-firm/bank shock variation is of comparable scale to between firm/bank variation. We document considerable bias in Abowd et al. (1999) style estimates and associated regressions, while finding significant deleterious effects of the post-2022 monetary contraction on exposed firms. We highlight novel heterogeneity in the transmission of monetary policy
   Working Paper Research, National Bank of Belgium
3. Weak Instrument Bias in Impulse Response Estimators
   Working Papers, Federal Reserve Bank of Dallas View citations (1)
   Also in CeMMAP working papers, Institute for Fiscal Studies (2026) View citations (1)
   CEPR Discussion Papers, Centre for Economic Policy Research (2026)

2025

4. Identifying heterogeneous supply and demand shocks in European credit markets
   CeMMAP working papers, Institute for Fiscal Studies

2024

5. A Robust Test for Weak Instruments for 2SLS with Multiple Endogenous Regressors
   Working Papers, Federal Reserve Bank of Dallas View citations (11)
6. Dynamic Identification Using System Projections on Instrumental Variables
   Working Papers, Federal Reserve Bank of Dallas View citations (2)
   Also in CEPR Discussion Papers, Centre for Economic Policy Research (2022)
7. Identification based on higher moments
   CeMMAP working papers, Institute for Fiscal Studies View citations (1)
8. Latent Heterogeneity in the Marginal Propensity to Consume
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (9)
   Also in CeMMAP working papers, Institute for Fiscal Studies (2024) View citations (9)
   Staff Reports, Federal Reserve Bank of New York (2019) View citations (7)

2022

9. A Robust Test for Weak Instruments with Multiple Endogenous Regressors
   Staff Reports, Federal Reserve Bank of New York View citations (11)
10. Approximating Grouped Fixed Effects Estimation via Fuzzy Clustering Regression
    Staff Reports, Federal Reserve Bank of New York View citations (3)
    See also Journal Article Approximating grouped fixed effects estimation via fuzzy clustering regression, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2023) View citations (4) (2023)

2021

11. Measuring Real Activity Using a Weekly Economic Index
    Working Papers, Federal Reserve Bank of Dallas View citations (32)
    Also in Staff Reports, Federal Reserve Bank of New York (2020) View citations (53)
    See also Journal Article Measuring real activity using a weekly economic index, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2022) View citations (30) (2022)

2020

12. Do Monetary Policy Announcements Shift Household Expectations?
    CEPR Discussion Papers, Centre for Economic Policy Research View citations (29)
    Also in Working Papers, Federal Reserve Bank of Dallas (2020) View citations (29)
    Staff Reports, Federal Reserve Bank of New York (2019) View citations (15)
13. High Frequency Data and a Weekly Economic Index during the Pandemic
    Staff Reports, Federal Reserve Bank of New York View citations (4)
    See also Journal Article High-Frequency Data and a Weekly Economic Index during the Pandemic, AEA Papers and Proceedings, American Economic Association (2021) View citations (10) (2021)
14. Monitoring Real Activity in Real Time: The Weekly Economic Index
    Liberty Street Economics, Federal Reserve Bank of New York View citations (10)
15. Tracking the COVID-19 Economy with the Weekly Economic Index (WEI)
    Liberty Street Economics, Federal Reserve Bank of New York View citations (2)
16. U.S. Economic Activity During the Early Weeks of the SARS-Cov-2 Outbreak
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (59)

2019

17. Announcement-Specific Decompositions of Unconventional Monetary Policy Shocks and Their Macroeconomic Effects
    Staff Reports, Federal Reserve Bank of New York View citations (9)

2018

18. Identifying shocks via time-varying volatility
    Staff Reports, Federal Reserve Bank of New York View citations (8)
    See also Journal Article Identifying Shocks via Time-Varying Volatility, The Review of Economic Studies, Review of Economic Studies Ltd (2021) View citations (43) (2021)
19. Robust inference in models identified via heteroskedasticity
    Staff Reports, Federal Reserve Bank of New York View citations (4)
    See also Journal Article Robust Inference in Models Identified via Heteroskedasticity, The Review of Economics and Statistics, MIT Press (2022) View citations (10) (2022)

Journal Articles

2025

1. Announcement-Specific Decompositions of Unconventional Monetary Policy Shocks and Their Effects
   The Review of Economics and Statistics, 2025, 107, (4), 1086-1103 View citations (2)
2. Identification Based on Higher Moments in Macroeconometrics
   Annual Review of Economics, 2025, 17, (1), 665-693 View citations (1)

2023

3. Approximating grouped fixed effects estimation via fuzzy clustering regression
   Journal of Applied Econometrics, 2023, 38, (7), 1077-1084 View citations (4)
   See also Working Paper Approximating Grouped Fixed Effects Estimation via Fuzzy Clustering Regression, Staff Reports (2022) View citations (3) (2022)

2022

4. Measuring real activity using a weekly economic index
   Journal of Applied Econometrics, 2022, 37, (4), 667-687 View citations (30)
   See also Working Paper Measuring Real Activity Using a Weekly Economic Index, Working Papers (2021) View citations (32) (2021)
5. Robust Inference in Models Identified via Heteroskedasticity
   The Review of Economics and Statistics, 2022, 104, (3), 510-524 View citations (10)
   See also Working Paper Robust inference in models identified via heteroskedasticity, Staff Reports (2018) View citations (4) (2018)

2021

6. High-Frequency Data and a Weekly Economic Index during the Pandemic
   AEA Papers and Proceedings, 2021, 111, 326-30 View citations (10)
   See also Working Paper High Frequency Data and a Weekly Economic Index during the Pandemic, Staff Reports (2020) View citations (4) (2020)
7. Identifying Shocks via Time-Varying Volatility
   (First Order Autoregressive Processes and Strong Mixing)
   The Review of Economic Studies, 2021, 88, (6), 3086-3124 View citations (43)
   See also Working Paper Identifying shocks via time-varying volatility, Staff Reports (2018) View citations (8) (2018)
8. The Size‐Power Tradeoff in HAR Inference
   Econometrica, 2021, 89, (5), 2497-2516 View citations (18)

2018

9. HAR Inference: Recommendations for Practice
   Journal of Business & Economic Statistics, 2018, 36, (4), 541-559 View citations (132)
10. HAR Inference: Recommendations for Practice Rejoinder
    Journal of Business & Economic Statistics, 2018, 36, (4), 574-575 View citations (108)

Software Items

2026

1. GWEAKIVTEST: Stata module providing robust test for weak instruments for 2SLS with multiple endogenous regressors
   Statistical Software Components, Boston College Department of Economics
2. HARREG: Stata module to estimate time-series regression with HAR standard errors and fixed-b inference
   Statistical Software Components, Boston College Department of Economics