We develop a dynamic panel threshold model of capital structure to test the dynamic trade-off theory, allowing for asymmetries in firms' adjustments toward target leverage. Our novel estimation approach is able to consistently estimate heterogeneous speeds of adjustment in different regimes as...

This paper proposes a new test of the null hypothesis that the parameters in a cointegrated panel data regression are equal across the cross-section. The asymptotic distribution of the new test statistic is derived and simulation results are provided to suggest that it performs very well in...

This paper develops a new framework and statistical tools to analyze stock returns using high-frequency data. We consider a continuous-time multifactor model via a continuous-time multivariate regression model incorporating realistic empirical features, such as persistent stochastic volatilities...

We estimate the impact of climate change on agricultural production in a panel of 127 countries from 1961 to 2002. In contrast to the existing literature we account for cross-sectional dependence and technology heterogeneity. We find no significant impact of climate change on agricultural...

We estimate the impact of climate change on agricultural production in a panel of 127 countries from 1961 to 2002. In contrast to the existing literature we account for cross-sectional dependence and technology heterogeneity. We find no significant impact of climate change on agricultural...

This paper proposes a new approach to examine the relationship between CO2 emissions and economic developing. In particular, we propose to test the Environmental Kuznets Curve (EKC) hypothesis for a panel of 24 OECD countries and 32 non-OECD countries by developing a more flexible estimation...