This paper analyzes multifactor models in the presence of a large number of potential observable risk factors and unobservable common and group-specific pervasive factors. We show how relevant observable factors can be found from a large given set and how to determine the number of common and...

We examine the impact of the first phase of the Bank of England’s quantitative easing (QE) programme during March 2009 to January 2010 on the UK government bond (gilt) market, using high-frequency disaggregated data on individual gilts. We find that: QE announcements took varying amounts of...

In this paper, we conduct a simulation analysis of the Fama and MacBeth (1973) two-pass procedure, as well as maximum likelihood (ML) and generalized method of moments estimators of cross-sectional expected return models. We also provide some new analytical results on computational issues, the...

The paper analyzes the migration dynamics in Americas from 1960 to 2005 using an equilibrium approach as is proposed in Sjaastad (1969) y Todaro (1969). With recent spatial econometrics techniques the migration flow is evaluated, controlling for labor mobility effect and regional wages....

Spatial effects and common-shocks effects are of increasing empirical importance. Each type of effect has been analyzed separately in a growing literature. This paper considers a joint modeling of both types. Joint modeling allows one to determine whether one or both of these effects are...

We explore the effect of cross-sectional aggregation of data on estimation and test of asymmetric retail fuel price responses to wholesale price shocks. The analysis is performed on data collected daily from individual fuel stations in the Spanish metropolitan areas of Madrid and Barcelona....

In this paper we examine the effect of dollar stores on children's Body Mass Index (BMI). We use data from a dataset compiled by the Arkansas Center for Health Improvement which created and implemented the BMI screening process for all public school children in the state of Arkansas. We combine...

We study the estimation of a high dimensional approximate factor model in the presence of both cross sectional dependence and heteroskedasticity. The classical method of principal components analysis (PCA) does not efficiently estimate the factor loadings or common factors because it essentially...

This paper investigates spatio-temporal variations in ex-post credit risk in the United States, as a function of real estate prices, loan purchases made by government sponsored enterprises, and a set of local characteristics during the recent housing boom and bust.

This paper estimates individual wage equations in order to test two rival non-nested theories of economic agglomeration, namely New Economic Geography (NEG), as represented by the NEG wage equation and urban economic (UE) theory, in which wages relate to employment density. The paper makes an...