We show that an equity pairs trading strategy generates large and significant abnormal returns. We find that two components of the trading signal (short term reversal and pairs momentum) have different dynamic and cross-sectional properties. The pairs momentum is largely explained by the one...

Heien and Wessells' two-step estimator for the multivariate sample-selection model has been used extensively during the past 15 years. A modified version of it, with slightly different selectivity regressors, has also appeared in the empirical literature. Both estimators are unfounded and...

This study examines the relationship between smoking and body mass index (BMI) with a simultaneous equations system allowing for censoring and endogeneity of the number of cigarettes smoked, which alleviates simultaneity bias caused by unobserved heterogeneity and expansion bias by censoring in...

A concentration index methodology to analyze the inequality in childhood malnutrition in China is outlined. Height-for-age z score is used as a measure of childhood malnutrition. Using household survey data from nine Chinese provinces, it is found that per-capita household income, household...

An agricultural production function is estimated using a Chinese county-level dataset along with associated geographic information. County-specific output-input elasticities are computed using the geographically weighted regression (GWR) and mapped with the geographical information system (GIS)....

The relationship between Food Stamp Program (FSP) participation and household food insecurity (FI) is investigated using data from the 1996-1997 National Food Stamp Program Survey. Endogeneity of FSP participation is accommodated with an instrumental variables approach. In contrast to other...

This study tests the hypothesis that a higher present value of expected rental stream of undeveloped land in the urban growth area influences the effect of the Urban Growth Boundary (UGB) on the values of newly developed houses in Knoxville and Knox County, Tennessee. We estimate a version of...