The author proposes a test for the parametric specification of each component in the diffusion matrix of a d-dimensional diffusion process. Overall, d (d-1)/2 test statis[...]

Supplemental material for peer-reviewed article published in Quantitative Economics. When citing this dataset, please also cite the associated article. A sample Publicati[...]

This paper investigates the evolution of firm distributions for entrant manufacturing firms in Canada using nonparametric methods. These nonparametric methods use functio[...]

We propose estimators of sharp bounds on the correlation coefficient between potential outcomes in the Gaussian switching regime model and develop an asymptotically unifo[...]

This paper studies the inference problem of an infinite-dimensional parameter with a shape restriction. This parameter is identified by arbitrarily many unconditional mom[...]

This paper documents the relative importance of firm, industry and aggregate factors on the post-entry performance of new firms. This study utilizes a unique administrati[...]

Monte Carlo evidence has made it clear that asymptotic tests based on generalized method of moments (GMM) estimation have disappointing size. The problem is exacerbated w[...]

Based on a new approach for measuring the comovements between stock market returns, we provide a new test for the null hypothesis of symmetric comovements in the sense th[...]

The objective of this paper is to propose an early warning system that can predict the likelihood of the occurrence of financial stress events within a given period of ti[...]

This paper proposes using the Gaussian approximation, also known as quantile coupling, to estimate a quantile model. The quantile coupling allows one to apply the standar[...]