Despite much recent work on the finite-sample properties of estimators and tests for linear regression models with a single endogenous regressor and weak instruments, little attention has been paid to tests for overidentifying restrictions in these circumstances. We study asymptotic tests for...

We propose an early warning model for predicting the likelihood of a financial stress event for a given future time, and examine whether credit plays an important role in the model as a non-linear propagator of shocks. This propagation takes the form of a threshold regression in which a regime...

The author proposes a test for the parametric specification of each component in the diffusion matrix of a d-dimensional diffusion process. Overall, d (d-1)/2 test statistics are constructed for the off-diagonal components, while d test statistics are constructed for the main diagonal...

We propose double bootstrap methods to test the mean-variance efficiency hypothesis when multiple portfolio groupings of the test assets are considered jointly rather than individually. A direct test of the joint null hypothesis may not be possible with standard methods when the total number of...

The authors use the Financial Stress Index created by the International Monetary Fund to predict the likelihood of financial stress events for five developed countries: Canada, France, Germany, the United Kingdom and the United States. They use a semiparametric panel data model with...

We develop a finite-sample procedure to test the beta-pricing representation of linear factor pricing models that is applicable even if the number of test assets is greater than the length of the time series. Our distribution-free framework leaves open the possibility of unknown forms of...

Existing studies on the returns to college selectivity have mixed results, mainly due to the difficulty of controlling for selection into more-selective colleges based on unobserved ability. Moreover, researchers have not considered graduate degree attainment in the analysis of labour market...

This paper concerns the decomposition of income risk into permanent and transitory components using repeated cross-section data on income and consumption. Our focus is on the detection of changes in the magnitudes of variances of permanent and transitory risks. A new approximation to the optimal...

Inference using large datasets is not nearly as straightforward as conventional econometric theory suggests when the disturbances are clustered, even with very small intra-cluster correlations. The information contained in such a dataset grows much more slowly with the sample size than it would...

A substantial body of research on the UK's National Minimum Wage (NMW) has concluded that the the NMW has not had a detrimental effect on employment. This research has directly influenced, through the Low Pay Commission, the conduct of policy, including the subsequent introduction of the...