Dong and Lewbel have developed the theory of simple estimators for binary choice models with endogenous or mismeasured regressors, depending on a “special regressor” as defined by Lewbel (Journal of Econometrics, 2000). These estimators can be used with limited, censored, continuous, or...

In a 2012 article in the Journal of Business & Economic Statistics, Arthur Lewbel presents the theory of allowing the identification and estimation of "mismeasured and endogenous regressor models" by exploiting heteroskedasticity. These models include linear regression models customarily...

In a 2012 article in the Journal of Business and Economic Statistics, Arthur Lewbel presented the theory of allowing the identification and estimation of "mismeasured and endogenous regressor models" by exploiting heteroskedasticity. These models include linear regression models customarily...

Dong and Lewbel have developed the theory of simple estimators for binary choice models with endogenous or mismeasured regressors, depending on a `special regressor' as defined by Lewbel (J. Econometrics, 2000). `Control function' methods such as Stata's ivprobit are generally only valid when...

We evaluate alternative models of the volatility of commodity futures prices based on high-frequency intraday data from the crude oil futures markets for the October 2001-December 2012 period. These models are implemented with a simple GMM estimator that matches sample moments of the realized...

We examine the effect of scheduled macroeconomic announcements made by China on world financial and commodity futures markets. All announcements related to Chinese manufacturing and industrial output move stock markets, energy and industrial commodities as well as commodity currencies. News...

This paper empirically examines the role of diversification in export markets on firm-level R&D activities. We show that geographical sales diversification across different regions of the world induces UK firms to increase their R&D expenditures, as firms must innovate and develop new products...

This paper studies the impact of credit rating agency (CRA) downgrade announcements on the value of the Euro and the yields of French, Italian, German and Spanish long-term sovereign bonds during the culmination of the Eurozone debt crisis in 2011-2012. The employed GARCH models show that CRA...

Past observational studies of the associations of area-level/contextual social capital with health have revealed conflicting findings. However, interpreting this rapidly growing literature is difficult because estimates using conventional regression are prone to major sources of bias including...

We review the Stata statistical package and evaluate its suitability for applied research.