Linear regression models form the cornerstone of applied research in economics and other scientific disciplines. When conditional heteroskedasticity is present, or at least suspected, the practice of reweighting the data has long been abandoned in favor of estimating model parameters by ordinary...

This paper introduces a new method for deriving covariance matrix estimators that are decision-theoretically optimal. The key is to employ large-dimensional asymptotics: the matrix dimension and the sample size go to infinity together, with their ratio converging to a finite, nonzero limit. As...

This paper considers the problem of testing a finite number of moment inequalities. We propose a two‐step approach. In the first step, a confidence region for the moments is constructed. In the second step, this set is used to provide information about which moments are “negative.” A...

Applied researchers often test for the difference of the Sharpe ratios of two investment strategies. A very popular tool to this end is the test of Jobson and Korkie [Jobson, J.D. and Korkie, B.M. (1981). Performance hypothesis testing with the Sharpe and Treynor measures. Journal of Finance,...