Imagine we have two different samples and are interested in doing semi- or nonparametric regression analysis in each of them, possibly on the same econometric model. In this article we consider the problem of testing whether a specific covariate has different impacts on the regression curve in...

In practice, multivariate dependencies between extreme risks are often only assessed in a pairwise way. We propose a test to detect when tail dependence is truly high{dimensional and bivariate simplifications would produce misleading results. This occurs when a significant portion of the...

This paper considers the problem of testing many moment inequalities where the number of moment inequalities, denoted by p, is possibly much larger than the sample size n. There are a variety of economic applications where the problem of testing many moment in- equalities appears; a notable...

We provide an overidentification test for a nonparametric treatment model where individuals are allowed to select into treatment based on unobserved gains. Our test can be used to test the validity of instruments in a framework with essential heterogeneity (Imbens and Angrist 1994). The...

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...