Asymptotic and bootstrap tests are studied for testing whether there is a relation of stochastic dominance between two distributions. These tests have a null hypothesis of nondominance, with the advantage that, if this null is rejected, then all that is left is dominance. This also leads us to...

The delta method is commonly used to calculate confidence intervals of functions of estimated parameters that are differentiable with non-zero, bounded derivatives. When the delta method is inappropriate, researchers usually first use a bootstrap procedure where they i) repeatedly take a draw...

In this paper I revisit the interpretation of the linear instrumental variables (IV) estimand as a weighted average of conditional local average treatment effects (LATEs). I focus on a practically relevant situation in which additional covariates are required for identification while the...

This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to Sharpe (1964) and Lintner (1965), when the number of securities, N, is large relative to the time dimension, T, of the return series. In the case of cross-sectionally correlated...

When considering multiple hypothesis tests simultaneously, standard statistical techniques will lead to over-rejection of null hypotheses unless the multiplicity of the testing framework is explicitly considered. In this paper we discuss the Romano-Wolf multiple hypothesis correction, and...

This paper extends the cross sectionally augmented panel unit root test proposed by Pesaran (2007) to the case of a multifactor error structure. The basic idea is to exploit information regarding the unobserved factors that are shared by other time series in addition to the variable under...

The evaluation of interventions such as active labor market policies or medical programs by means of a randomized controlled trial is often considered the gold standard. However, randomized experiments might face severe shortcomings especially if performed at the group level. One such problem is...

This paper proposes a method to analyze interval-censored data, using multiple imputation based on a heteroskedastic interval regression approach. The proposed model aims to obtain a synthetic data set that can be used for standard analysis, including standard linear regression, quantile...

I review recent work in the statistics literature on instrumental variables methods from an econometrics perspective. I discuss some of the older, economic, applications including supply and demand models and relate them to the recent applications in settings of randomized experiments with...

This paper provides an introduction into the estimation of Marginal Treatment Effects (MTE). Compared to the existing surveys on the subject, our paper is less technical and speaks to the applied economist with a solid basic understanding of econometric techniques who would like to use MTE...