Extreme movements in financial markets are not always reflected equally in individual stocks. Identifying which firms are unable to absorb shocks is a challenge. This pap[...]

Laboratory experiments find consistently that bidding in first-price auctions tends to be more aggressive than predicted by the risk-neutral Bayesian Nash Equilibrium (RN[...]

This paper proposes a new approach to estimating multinomial choice models when each consumer’s actual choice set is unobservable but could be bounded by two known sets, [...]

For each component in the diffusion matrix of a d-dimensional diffusion process, we propose a test for the parametric specification of this component. Overall, d(d−1)/2 t[...]

We develop an exact and distribution-free procedure to test for quantile predictability at several prediction horizons and quantile levels jointly, while allowing for an [...]

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

This paper studies identification, estimation, and inference of a weighted average treatment effect (W-ATE) parameter in a class of switching regime models, where the age[...]

This paper considers the problem of estimating a linear model between two heavy-tailed variables if the explanatory variable has an extremely low (or high) value. We prop[...]

This paper shows point-identification in first-price auctions with risk aversion and unobserved auction heterogeneity, by exploiting multiple bids per auction and variati[...]