We analyze a task-assignment model in which a principal assigns a task to one of two agents depending on future states. If the agents have concave utility, the principal assigns the task to them contingent on the state. We show that if the agents are loss averse, a state-independent...

In this study, we determine the reliability and exogeneity of four popular monetary policy shock measures, namely the narrative series of Romer and Romer (2004), the high-frequency series of Barakchian and Crowe (2013), the high-frequency series of Gertler and Karadi (2015), and the hybrid...

Testing for asymmetric information in insurance markets has become a very important issue in the empirical literature in the last years. We analyze the (private) accident insurance, which has not been analyzed before in the literature, but covers one of the most important risks faced by...

Castagnetti et al. (2015) propose two max-type statistics to test for the presence of a factor structure in a large stationary panel data model. In this contribution, we study the use of Hausman-type statistics based on the CCE estimator of Pesaran (2006) and the IE estimator developed by Bai...

This paper extends Hong et al. (2007)’s model-free test to analyze the contagion. A simulation experiment reveals that our test has reasonable size and good power in finite sample. We use this test and find the strong evidence of contagion between crude oil and stock markets.

A novel procedure is applied to test for switches between hysteresis and the natural rate theory over more than a century of UK and USA unemployment data. For both the countries we see a period conforming to hysteresis starting in the early 1920s for the UK and 1930 for USA.

This paper studies the test of joint significance for the ordered choice model with multiple explanatory variables following integrated processes. The results show that for the widely used logit and probit models, when the true parameter vector of explanatory variables is zero, the classical...

In this note, I extend the optimal asymptotic least squares estimation framework to deal with singularities in the asymptotic covariance of the distance function. Further, the relationship between the asymptotic least squares and maximum likelihood estimation frameworks in such a singular set-up...

The asymptotic distributions of the maximum likelihood estimator of the persistence parameter are developed in a linear diffusion model under three sampling schemes, long-span, in-fill and double. Simulations suggest that the in-fill asymptotic distribution gives a more accurate approximation to...

Wald/LM-type tests for a shift in mean often exhibit nonmonotonic power, due to incorrect estimation of long-run variance. In this paper, we propose a robust estimator of long-run variance that is built on nonparametric regression residuals and always converges to the true long-run variance...