Many models of semiparametric multivariate survival functions are characterized by nonparametric marginal survival functions and parametric copula functions, where different copulas imply different dependence structures. This paper considers estimation and model selection for these...

Evidence that asset returns are more highly correlated during volatile markets and during market downturns (see Longin and Solnik, 2001, and Ang and Chen, 2002) has lead some researchers to propose alternative models of dependence. In this paper we develop two simple goodness-of-fit tests for...

We consider the identification of counterfactual distributions and treatment effects when the outcome variables and conditioning covariates are observed in separate data sets. Under the standard selection on observables assumption, the counterfactual distributions and treatment effect parameters...

We examine the informational effects of Mamp;As by investigating whether mergers improve banks' abilities to screen their borrowers. By exploiting a dataset in which we observe a measure of a borrower's default risk which the lenders observe only imperfectly, we find evidence of these...

This paper constructs a consistent model specification test based on the difference between the nonparametric kernel sum of squares of residuals and the sum of squares of residuals from a parametric null model. We establish the asymptotic normality of the proposed test statistic under the null...

This paper extends the linear stochastic frontier model proposed by D. J. Aigner, C. A. K. Lovell, and P. Schmidt (1977) to a semiparametric frontier model in which the functional form of the production frontier is unspecified and the distributions of the composite error terms are of known form....

Let <italic>F</italic> denote a distribution function defined on the probability space (Ω,null,<italic>P</italic>), which is absolutely continuous with respect to the Lebesgue measure in <italic>R</italic> with probability density function <italic>f</italic>. Let <italic>f</italic>₀(·,β) be a parametric density function that depends on an unknown <italic>p</italic> × 1 vector β. In this...

Research in empirical health economics has found that the relationship between medical expenditures and age, income and other variables can be highly nonlinear. Moreover, men and women can have quite different medical expenditure patterns due to their differences in life expectancy. Thus it may...