We propose a simultaneous model specification procedure for the conditional mean and conditional variance in nonparametric and semiparametric time series econometric models. An adaptive and optimal model specification test procedure is then constructed and its asymptotic properties are...

While home ownership provides a great deal of personal and social benefits, it poses a substantial constraint on individuals' asset allocation.

The recently proposed family of hypernormal density functions possess the analytically convenient and computationally efficient property of closed form moments and anti-derivatives in the univariate case. While this result allows many univariate applications to be solved faster and/or more...

Promising emerging equity markets often witness investment herds and frenzies, accompanied by an abundance of media coverage. Complementarity in information acquisition can explain these anomalies. Because information has a high fixed cost of production, its equilibrium price is low when...

This paper presents both the time-series and cross-country evidence on the growth of global equity markets and attempts to shed some light on the sources of equity market growth. Using data on 33 countries, I find that development of financial intermediaries and openness to trade are positively...

This paper provides conditions for identification and estimation of the conditional or unconditional average effect of a binary treatment or policy on a scalar outcome in models where treatment may be misclassified. Misclassification probabilities and the true probability of treatment are also...

Liquid markets where agents have limited capacity to sign exclusive contracts, as well as imperfect knowledge of previous transactions by others, raise the following risk: An agent can promise the same asset to multiple counterparties and subsequently default. I show that in such markets an...

In its standard “public choice” form, the mechanism-design framework abstracts from institutional and technological constraints beyond those that the modeler can represent in the definition of states, outcomes, and preferences. This abstraction can create a useful simplification. However,...

This paper seeks to quantify sources of variation in annual job earnings data collected by the 1996 Survey of Income and Program Participation (SIPP) and to determine how much of the variation is the result of measurement error. To this end, jobs reported in the SIPP are linked to jobs reported...

This paper is about freedom of choice and rigidity of choice rules as incentive devices. We study the optimal design of an agent's freedom of choice when his information is endogenous and costly to acquire. We show that curtailing the agent's authority over decision-making may be optimal even if...