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On the sensitivity of the usual t- and F-tests to covariance misspecification
Detection of change in persistence of a linear time series
Estimating the density of unemployment duration based on contaminated samples or small samples
Testing time reversibility without moment restrictions
Unit root tests in the presence of uncertainty about the non-stochastic trend
A numerically stable quadrature procedure for the one-factor random-component discrete choice model
Rank estimation of a generalized fixed-effects regression model
Estimation of a censored regression panel data model using conditional moment restrictions efficiently
Bayesian analysis of contingent claim model error
American options with stochastic dividends and volatility: A nonparametric investigation
随机股息与波动率下的美式期权：非参数研究
In this paper, we consider American option contracts when the underlying asset has stochastic dividends and stochastic volatility. We provide a full discussion of the theoretical foundations of American option valuation and exercise boundaries. We show how they depend on the various sources of uncertainty which drive dividend rates and volatility, and derive equilibrium asset prices, derivative prices and optimal exercise boundaries in a general equilibrium model. The…
Nonparametric risk management and implied risk aversion
Econometric specification of the risk neutral valuation model
GMM inference when the number of moment conditions is large
Testing for ARCH in the presence of a possibly misspecified conditional mean
Weak exogeneity in I(2) VAR systems
Threshold effects in non-dynamic panels: Estimation, testing, and inference
非动态面板中的门槛效应：估计、检验与推断
Threshold regression methods are developed for non-dynamic panels with individual-specific fixed effects. Least squares estimation of the threshold and regression slopes is proposed using fixed-effects transformations. A non-standard asymptotic theory of inference is developed which allows construction of confidence intervals and testing of hypotheses. The methods are applied to a 15-year sample of 565 US firms to test whether financial constraints affect investment…
How informative is the initial condition in the dynamic panel model with fixed effects?
固定效应动态面板模型的初始条件有多大信息量？
I consider estimation of the autoregressive panel model with fixed effects yit=ci+βyi,t−1+εit. I investigate the estimation method developed by Blundell and Bond (1998), which makes use of the stationarity of the initial levels. I do it by numerically comparing the semiparametric information bounds for the case that incorporates the stationarity of the initial condition and for the case that does not. It is found that the efficiency gain can be substantial.