Emergence of new financial markets has led to fragmentation of order flows, leading to reduced liquidity in any particular market. Some markets are alleged to compete by focusing on quot;cream-skimmingquot; of uninformed trades, leaving informed trades to established markets. We develop a test...

Infrequently traded stocks tend to have higher bid-askspreads than frequently traded stocks. We use a new empirical technique to investigate the risk of information- based trading in active versus inactive stocks. We estimate the stochastic process of trades by maximum likelihood. Using a sample...

The problem in default probability estimation for low-default portfolios is that there is little relevant historical data information. No amount of data processing can fix this problem. More information is required. Incorporating expert opinion formally is an attractive option

Presenting a complete survey of labor economics from the search point of view, this is the first book to coordinate a vast and scattered literature, making an increasingly important and sophisticated area in modern applied economics readily accessible. Completely comprehensive, Empirical Labor...

Most data used to study the durations of unemployment spells come from the Current Population Survey, which is a point-in-time survey and gives an incomplete picture of the underlying duration distribution. We introduce a new sample of completed unemployment spells obtained from panel data and...

We develop a test statistic to test hypotheses in nonlinear, weighted regression models with serial correlation/heteroskedasticity of unknown form. The novel aspect is that these tests are simple and do not require use of heteroskedasticity autocorrelation consistent (HAC) estimators....

A model selection procedure based on a general criterion function, with an example of the Kullback-Leibler Information Criterion (KLIC) using quasi-likelihood functions, is considered for dynamic non-nested models. We propose a robust test which generalizes Lien and Vuong's (1987) test with a...

We propose an improved model selection test for dynamic models based on the method of Rivers and Vuong (2002) using a new asymptotic approximation to the sampling distribution of a new test statistic. The model selection test is applicable to dynamic models with very general selection criteria...