Uncertainty in Empirical Economics

Frank Schorfheide and Zhiheng You

No 33962, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: Econometricians invest substantial effort in constructing standard errors that yield valid inference under a hypothetical data-generating process. This paper asks a fundamental question: Are the uncertainty statements reported by applied researchers consistent with empirical frequencies? The short answer is no. Drawing on the forecasting literature, we predict estimates from “new” studies using estimates from corresponding baseline studies. By doing this across a large number of study groups and linking parameters through a hierarchical model, we compare stated probabilities to observed empirical frequencies. Alignment occurs only under limited external validity, namely, that the studies estimate different parameters.

JEL-codes: C11 C18 C21 (search for similar items in EconPapers)
Date: 2025-06
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