This paper compares recently developed semiparametric estimators of Type-3 Tobit model using Monte Carlo simulations. In particular, we examine the finite sample performance of the recently proposed method by Li and Wooldridge and compare it to some alternative semiparametric estimators....

This paper implements an emerging data-driven method of directed acyclic graphs to study the contemporaneous causal structure among the federal funds rate and U.S. Treasury bond yields of various maturities. Using high frequency daily data from 1994 to 2009, we find that innovations in the...

This article revisits the long-standing issue of the determinants of health outcomes. We make two contributions to the literature. First, we use a large and comprehensive US county level health data set that has only recently become available. This data set includes five measures of health...

How food recalls due to bacterial contamination affect the stock prices of two companies are examined using a version of the financial market model that accounts for Generalized Autoregressive Conditional Heteroscedasticity (GARCH) effects. GARCH methodology was necessary to uncover the...

In the context of a three-moment intertemporal capital asset pricing model specification, we characterize conditional coskewness between stock and bond excess returns using a bivariate regime-switching model. We find that both conditional U.S. stock coskewness (the relation between stock return...

Motivated from Fama’s (1991) conjecture of an explicit link between the cross-sectional and time-series stock return predictability, we investigate whether the investment factor constructed from the cross-section of stocks also has time-series predictive power for stock returns within...