Accepted version with replication instructions

Changes:

• Added replication instructions.

Accepted paper version

Code version used for results reported in the paper, as of date of acceptance in Journal of Econometrics.

Changes:

• Removal of superfluous and erroneous functionality, see 7f18262#r139925375

Updated working paper Jan 23 2024

Working paper version: January 23, 2024

Updated working paper

Working paper version: September 26, 2023