Stocks with large increases in call implied volatilities over the previous month tend to have high future returns while stocks with large increases in put implied volatilities over the previous month tend to have low future returns. Sorting stocks ranked into decile portfolios by past call...

This paper develops a dynamic model of retail competition and uses it to study the impact of the expansion of a new national competitor on the structure of urban markets. In order to accommodate substantial heterogeneity (both observed and unobserved) across agents and markets, the paper first...

We propose a method for solving and estimating linear rational expectations models that exhibit indeterminacy and we provide step-by-step guidelines for implementing this method in the Matlab-based packages Dynare and Gensys. Our method redefines a subset of expectational errors as new...

We develop new procedures for maximum likelihood estimation of affine term structure models with spanned or unspanned stochastic volatility. Our approach uses linear regression to reduce the dimension of the numerical optimization problem yet it produces the same estimator as maximizing the...

In high-dimensional factor models, both the factor loadings and the number of factors may change over time. This paper proposes a shrinkage estimator that detects and disentangles these instabilities. The new method simultaneously and consistently estimates the number of pre- and post-break...

In this paper we provide some evidence that repeat taking of competitive exams may reduce the impact of background disadvantages on educational outcomes. Using administrative data on the university entrance exam in Turkey we estimate cumulative learning between the first and the nth attempt...

We consider nonparametric identification and estimation in a nonseparable model where a continuous regressor of interest is a known, deterministic, but kinked function of an observed assignment variable. This design arises in many institutional settings where a policy variable (such as weekly...

We compare the performance of maximum likelihood (ML) and simulated method of moments (SMM) estimation for dynamic discrete choice models. We construct and estimate a simplified dynamic structural model of education that captures some basic features of educational choices in the United States in...

This paper examines the impact of job loss from business closings on body mass index (BMI) and alcohol consumption. We improve upon extant literature by using: exogenously determined business closings, a sophisticated estimation approach (finite mixture models) to deal with complex...

We employ a latent class model to assess the impact of Mexico's Seguro Popular ("SP") program on the number of prenatal visits in a cross-sectional sample of 4,381 women who gave birth during 2002-2005. We specify an ordered probit model to permit a pregnant woman's probability of membership in...