We assess relative performance of three recently proposed instrument selection methods via a Monte Carlo study that investigates the finite sample behavior of the post-selection estimator of a simple linear IV model. Our results suggest that no one method dominates.

GMM provides a computationally convenient estimation method and the resulting estimator can be shown to be consistent and asymptotically normal under the fairly moderate regularity conditions. It is widely known that the information content in the population moment condition has impacts on the...

In this thesis, we extend Bai and Perron's (1998, Econometrica, pp. 47-78) method fordetecting multiple breaks to nonlinear models. To that end, we consider an unstable univariatenonlinear least squares (NLS) model with a limited number of parameter shifts occurring atunknown dates. In our...

Value at Risk and the Expected Shortfall are two measurements of market risks for financial assets. Statistically, they are extreme quantiles of the distribution of financial log returns. Though financial log return data are usually both heteroscedastic and fatter-tailed, most of the existing...