This paper compares the finite sample performance of the canonical correlation regression estimator (CCR) and Stock and Watson's (A simple estimator of cointegration vectors in higher order integrated systems, Econometrica, 1993, 61(4), 783-820) dynamic ordinary least squares estimator (DOLS) using the models proposed by Inder (Journal of Econometrics, 1993, 57, 53-68). The CCR estimator shows ...

After performing a randomized experiment, researchers often use ordinary least-square (OLS) regression to adjust for baseline covariates when estimating the average treatment effect. It is widely known that resulting confidence interval valid even if linear model misspecified. In this article, we generalize conclusion covariate adjustment with nonlinear models. We introduce an intuitive way any...