This paper applies the tool box measures of disaggregative income inequality characterization and the statistical methodology of Beach (2021) to percentile-based distribution statistics such as quintile income shares and decile means typically published by official statistical agencies. It...

This paper uses distribution-free formulas for the asymptotic variances of sample quantile income shares - as typically published by statistical agencies as measures of the distribution of income inequality - to calculate how large a survey sample must be in order to estimate a more refined...

The estimation of dynamic causal effects is one of the crucial challenges of econometrics. In the macroeconomic literature, dynamic causal effects are conceived as the effect, over time, of an intervention that propagates through the economy. This is usually modeled via impulse response analysis...

This paper derives accurate inferences about the contribution of a high-dimensional set of option and stock characteristics to the cross-sectional variation in delta-hedged option returns. Unlike the extant literature that is largely focused on the construction of predictive models, we apply...

Betas from return regressions are commonly used to measure systematic financial market risks. "Good" beta measurements are essential for a range of empirical inquiries in finance and macroeconomics. We introduce a novel econometric framework for the nonparametric estimation of time-varying betas...

We develop an estimation procedure of multiple regression function and its derivatives (formarginal e¤ects) based on multivariate maximum entropy (ME) density estimation. The relevantmoments and cross moments conditions are selected to be inlcuded in the inferred distribution.Finite sample and...