This article analyzes Generalized Empirical Likelihood (GEL) estimators and GMM under nearly singular design. This design relaxes the nonsingularity assumption of the limit weight matrix in GMM, and the nonsingularity of the limit variance matrix for the first order conditions in GEL. The sample...

This paper proposes a group bridge estimator to select the correct number of factors in approximate factor models. It contributes to the literature on shrinkage estimation and factor models by extending the conventional bridge estimator from a single equation to a large panel context. The...

Valid instrumental variables must be relevant and exogenous. However, in practice it is difficult to find instruments that are exogenous in that they satisfy the knife-edged orthogonality condition and at the same time are strongly correlated with the endogenous regressors. In this paper we show...

We analyse the effect of the uncertainty about the fundamentals on the probability of sudden stops of capital flows from a theoretical and empirical perspective. Our model predicts that the probability of crises increases with the uncertainty, ie. the dispersion of private signals about the true...

This paper analyzes the impact of uncertainty on the spread of stock market crises, both theoretically and empirically. The effect of uncertainty about the fundamentals on investment decisions is an important cause of financial crises propagating across countries. Firstly, a coordination game on...

This paper analyzes the impact of uncertainty on the spread of stock market crises, both theoretically and empirically. The effect of uncertainty about the fundamentals on investment decisions is an important cause of financial crises propagating across countries. Firstly, a coordination game on...

We analyse the effect of the uncertainty about the fundamentals on the probability of sudden stops of capital flows from a theoretical and empirical perspective. Our model predicts that the probability of crises increases with the uncertainty, ie. the dispersion of private signals about the true...