The objective of this paper is to assess the impact of working in the twelve months preceding the date of leaving high school, either as a graduate or as a dropout, on the probability of graduation. To do so, I use Statistics Canada's 1991 School Leavers Survey and its 1995 Follow-up. Given that...

We propose finite sample tests and confidence sets for models with unobserved and generated regressors as well as various models estimated by instrumental variables methods. The validity of the procedures is unaffected by the presence of identification problems or "weak instruments", so no...

We study the problem of testing the error distribution in a multivariate linear regression (MLR) model. The tests are functions of appropriately standardized multivariate least squares residuals whose distribution is invariant to the unknown cross-equation error covariance matrix. Empirical...

In this paper we assess the causal impact of HIV/AIDS on monetary poverty using a panel data-set from South Africa and modeling the consequences of the illness on both earnings and transfers. Two major econometric problems are likely to bias the estimation: endogeneity of the HIV/AIDS dummy...

We provide a generalization of the Anderson-Rubin (AR) procedure for inference on parameters which represent the dependence between possibly endogenous explanatory variables and disturbances in a linear structural equation (endogeneity parameters). We focus on second-order dependence and stress...

This paper tackles the prediction of the probability and severity of US recessions. We employ parsimonious Probit models to estimate the probability of a recession h periods ahead, for h varying between 1 and 8 quarters. A novel goodness-of-fit measure derived from the Kullback-Leibler...

We study the workings of the factor analysis of high-dimensional data using artificial series generated from a large, multi-sector dynamic stochastic general equilibrium (DSGE) model. The objective is to use the DSGE model as a laboratory that allows us to shed some light on the practical...

In a social network, agents have their own reference group that may influence their behavior. In turn, the agents' attributes and their behavior affect the formation and the structure of the social network. We survey the econometric literature on both aspects of social networks and discuss the...

We provide new results regarding the identification of peer effects. We consider an extended version of the linear-in-means model where each individual has his own specific reference group. Interactions are thus structured through a social network. We assume that correlated unobservables are...

In this paper, we propose several finite-sample specification tests for multivariate linear regressions (MLR) with applications to asset pricing models. We focus on departures from the assumption of i.i.d. errors assumption, at univariate and multivariate levels, with Gaussian and non-Gaussian...