This paper considers two-sided matching models with nontransferable utilities, with one side having homogeneous preferences over the other side. When one observes only one or several large matchings, despite the large number of agents involved, asymptotic inference is difficult because the...

In structural models with parameter-dependent support, maximum likelihood problems are non-regular. We reformulate these problems by parameter-dependent transformations and propose modified likelihood estimators that have regular asymptotic properties. We then describe several applications to...

Permutation techniques, where one recompute the test statistic over permutations of data, have a long history in statistics and have become increasingly useful as the availability of computational power has increased. Until now, no permutation tests for examining returns to scale assumptions,...

Generalized Information Matrix Tests (GIMTs) have recently been used for detecting the presence of misspecification in regression models in both randomized controlled trials and observational studies. In this paper, a unified GIMT framework is developed for the purpose of identifying,...

This study addresses the issue of the presence of a unit root on the growth rate estimation by the least-squares approach. We argue that when the log of a variable contains a unit root, i.e., it is not stationary then the growth rate estimate from the log-linear trend model is not a valid...

Usage of Monte Carlo simulation for pricing requires a well defined and accurate market implied distribution of risk factors. Overlay, on top of these simulated risk factors, one can also generate conditional prices based on the set of underlying risk factors at future time horizons. The ability...

Statistical theory has been relatively absent in the exercise of estimating parameters of an option pricing model from cross-sectional data at a fixed point of calendar time. The cross-sectional data typically consists of prices for options at various strikes and maturities at market close. The...

What is Statistics? Opinions vary. In fact, there is a continuous spectrum of attitudes toward statistics ranging from pure theoreticians, proving asymptotic efficiency and searching for most powerful tests, to wild practitioners, blindly reporting p-values and claiming statistical significance...

This paper discusses how real-life statistical analysis/inference deviates from ideal environments. More specifically, there often exist models that have equal statistical power as the actual data-generating model, given only limited information and information processing/computation capacity....

This article surveys the state of the art in the econometrics of regression models with many instruments or many regressors based on alternative – namely, dimension – asymptotics. We list critical results of dimension asymptotics that lead to better approximations of properties of familiar...