The least-absolute-deviations (LAD) estimator for a median- regression model does not satisfy the standard conditions for obtaining asymptotic refinements through use of the bootstrap because the LAD objective function is not smooth. This paper overcomes this problem by smoothing the objective...

This paper uses average monthly returns and linear spline regressions to investigate the relation between expected return and firm size during 1980-1994. We find that the average monthly returns are approximately constant across size deciles. The estimated spline regressions vary substantially...

The flattening of the world thanks to the cluster of profound socio-economic and politico-cultural changes has created unprecedented challenges for organizational leadership and management. The fast evolving global world of ours where challenges have to be continually met requires timely...

This paper presents recent developments in model selection and model averaging for parametric and nonparametric models. While there is extensive literature on model selection under parametric settings, we present recently developed results in the context of nonparametric models. In applications,...

The paper proposes a structural approach to VAR analysis in panels, which takes into account responses to both idiosyncratic and common structural shocks, while permitting full cross member heterogeneity of the response dynamics. In the context of this structural approach, estimation of the...

One of the most popular univariate asymmetric conditional volatility models is the exponential GARCH (or EGARCH) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative effects of equal magnitude, EGARCH can also...

We propose methods for constructing regularized mixtures of density forecasts. We explore a variety of objectives and regularization penalties, and we use them in a substantive exploration of Eurozone inflation and real interest rate density forecasts. All individual inflation forecasters (even...

The devolved nature of environmental regulation provides an excellent opportunity for" estimating the effects of regulation on employment, by generating rich variation in regulation" across regions and over time. We exploit this variation using direct measures of regulation and" plant data. We...

It is common in empirical research to use what appear to be sensible rules of thumb for cleaning data. Measurement error is often the justification for removing (trimming) or recoding (winsorizing) observations whose values lie outside a specified range. This paper considers identification in a...

In recent years, wavelets have become widely used in physics, engineering, and mathematics. They have been used for signal processing, image processing, numerical computation, and data compression. Wavelets have not, however, been used very much in the fields of Economics, Econometrics, and...