We have developed a measure for systemic risk under the bivariate SU-normal distribution, and estimated systemic risk conditional upon the VaR of financial institutions. Simulation results show that both the normal and the quantile regression estimates are downward biased relative to the...

This study provides a nonparametric test for the parametric conditional distribution in the sample selection model. The nonparametric test statistic proposed by Fan et al. (2006) is applied to the Korean housing demand model. Test results indicate that the conditional normality in the housing...

This study compares parametric and nonparametric quantile regression methods using Monte Carlo simulations. Simulation results indicate that the nonparametric quantile regression approach is more appropriate, particularly when the underlying model is nonlinear or the error term follows a...

This study focuses on credit cards as a borrowing medium using 1998 Survey of Consumer Finance data. The type II Tobit approach used here overcomes a shortcoming of the conventional type I Tobit model, which restricts the coefficients of the binary borrowing decision (the first step) and balance...

In this paper, we study the citation decision of a scientific author. By citing a related work, authors can make their arguments more persuasive. We call this the correlation effect. But if authors cite other work, they may give the impression that they think the cited work is more competent...

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 study introduces Johnson's SU-normal distribution which can accommodate the flexibility of true error distribution to obtain consistent estimates in an endogenous switching regression model. Simulation results indicate that the SU-normal model outperforms the normal model for the...