This paper considers the problem of inference for nested least squares averaging estimators. We study the asymptotic behavior of the Mallows model averaging estimator (MMA; Hansen, 2007) and the jackknife model averaging estimator (JMA; Hansen and Racine, 2012) under the standard asymptotics with...

We experimentally examine how nonprofit pay levels affect nonprofit managers' misreporting and how different types of penalties deter such behavior. In the absence of penalties for misreporting, we find similar levels of, but different mechanisms for, misreporting by managers who select into...

Financialization has tightened the links between the oil market and other major financial markets, but their relationships remain poorly understood. In this paper, we quantify the heterogeneous return spillovers from the oil market to other major financial markets in the short, medium and long...

This paper provides new insights into the asymptotic properties of the synthetic control method (SCM). We show that the synthetic control (SC) weight converges to a limiting weight that minimizes the mean squared prediction risk of the treatment-effect estimator when the number of pretreatment...

Studying unified model averaging estimation for the situation with complicated data structure, we propose a novel weight choice criterion with a very general loss function based on cross-validation, and investigate asymptotic properties of the resulting averaging estimator. Under a unified...

This paper considers the model averaging prediction in a quasi-likelihood framework that allows for parameter uncertainty and model misspecification. We propose an averaging prediction that selects the data-driven weights by minimizing a K-fold cross-validation. We provide two theoretical...

The luxury goods market in China has seen a significant increase in consumer spending over the last decade. Researchers have identified economic transition and a growing middle-class to explain this evolving trend. A less discussed but important contextual determinant is growing income...