Banking is important for the stability and success of the economy. The success of the banking system on financial intermediation in developing countries is directly affected by non-performing loans (NPLs). Many factors can be treated as NPL determinants. Accordingly, the factors that explain...

Shape restrictions have played a central role in economics as both testable implications of theory and sufficient conditions for obtaining informative counterfactual predictions. In this paper we provide a general procedure for inference under shape restrictions in identified and partially...

A vast body of empirical literature documents the existence of short-term momentum and medium-term mean reversion in various financial markets. By contrast, there is still a great shortage of theoretical models that explain the presence of these two common phenomena. We develop a semi-Markov...

We investigate, by Monte Carlo methods, the finite sample properties of GMM procedures for conducting inference about statistics that are of interest in the business cycle literature. These statistics include the second moments of data filtered using the first difference and Hodrick-Prescott...

We examine the small sample properties of the GMM estimator for models of covariance structures, where the technique is often referred to as the optimal minimum distance (OMD) estimator. We present a variety of Monte Carlo experiments based on simulated data and on the data used by Abowd and...

We extend the popular bias-based test of Stock and Yogo (2005) for instrument strength in linear instrumental variables regressions with multiple endogenous regressors to be robust to heteroskedasticity and autocorrelation. Equivalently, we extend the robust test of Montiel Olea and Pflueger...