We provide general results for the asymptotic variance of regression coefficients computedfrom a sample drawn from a finite population. We encompass the potentialoutcomes and classic regression frameworks allowing for both heterogeneous treatmenteffects and random-across-resampling shocks....

This paper discusses the causal interpretation of event study coefficients in a dynamic two-way fixed effects regression with time-varying covariates under a conditional parallel trends assumption. In addition to the “cross-lag contamination” problem noted by Sun and Abraham (2021), we find...

The Frankel-Wei regression framework measures the relationship between one currency and another currency solely by using foreign exchange rates as regression variables, where investors choose a common numéraire for the foreign exchange rates. When the common numéraire is a single currency, the...

We propose a nonparametric estimator of bidders' value function based on a kernel estimator of the density quantile function of bids in first price auctions. This estimator provides certain advantage over the conventional approach that relies on the distribution/density ratio of the bids. We use...

We propose a new class of estimators for a jump discontinuity on nonparametric regression. While there is a vast literature in econometrics that addresses this issue (e.g., Hahn et al., 2001, Porter, 2003, Imbens and Lemieux, 2008, Cattaneo and Escanciano, 2017), the main approach in these...

A basic assumption of the classic reinsurance model is that the distribution of the loss is precisely known. In practice, only partial information is available for the loss distribution due to the lack of data and estimation error. We study a distributionally robust reinsurance problem by...

We extend the scope of risk measures for which backtesting models are available by proposing a multinomial backtesting method for general distortion risk measures. The method relies on a stratification and randomization of risk levels. We illustrate the performance of our methods in numerical...

In this paper we consider the Markov Switching GARCH model suggested by Haas, Mittnik, and Paolella (2004) and obtain the functional central limit theorems for and . The functional central limit theorem for is also obtained

We introduce a novel weighted least squares approach to estimate daily realized covariation and microstructure noise variance using high-frequency data. We provide an asymptotic theory and conduct a comprehensive Monte Carlo simulation to demonstrate the desirable statistical properties of the...

We estimate a gravity model for 205 international trading partners over the period 1954-2014, by allowing for multiple layers of heterogeneity. The first layer of heterogeneity arises from the interactions between the gravity variables, and the second one comes from country pairs that differ in...