We apply well-known results of the econometric learning literature to the Mortensen-Pissarides real business cycle model. Agents can always learn the unique rational expectations equilibrium (REE), for all possible well-defined sets of parameter values, by using the minimum-state-variable...

Recent advances in empirical finance has shown that the adoption of network theory is critical to understand contagion and systemic vulnerabilities. While interdependencies among financial markets have been widely examined, only few studies review networks, however, they do not focus on the...

This free software guide for Reviews with freely downloadable datasets brings the econometric techniques to life, showing readers how to implement the approaches presented in Introductory Econometrics for Finance using this highly popular software package. Designed to be used alongside the main...

This free software guide for Stata with freely downloadable datasets brings the econometric techniques to life, showing readers how to implement the approaches presented in Introductory Econometrics for Finance using this highly popular software package. Designed to be used alongside the main...

This free software guide for R with freely downloadable datasets brings the econometric techniques to life, showing readers how to implement the approaches presented in Introductory Econometrics for Finance using this highly popular software package. Designed to be used alongside the main...

We propose leave-out estimators of quadratic forms designed for the study of linear models with unrestricted heteroscedasticity. Applications include analysis of variance and tests of linear restrictions in models with many regressors. An approximation algorithm is provided that enables accurate...

Analyzing stock prices is very difficult due to the uncertainty and their dynamic nature. Investors use many statistical techniques such as moving average, Relative Strength Index (RSI) and others to make buying or selling decision on stocks investment. Stocks price are times series data which...

This paper develops a framework for understanding the model risks posed by the phenomenon of macroeconomic adverse selection. We explore the sources and implications of credit model instability arising from changes in economic conditions as well as changes in unobserved borrower risk factors. We...

Building from Angrist and Pischke's (2017) arguments for how the teaching of undergraduate econometrics could become more effective, I propose a further redesign that would better serve the vast majority of students. The rationale follows from several premises, most notably: (1) few students...