A random sample drawn from a population would appear to offer an ideal opportunity to use the bootstrap in order to perform accurate inference, since the observations of the sample are IID. In this paper, Monte Carlo results suggest that bootstrapping a commonly used index of inequality leads to...

The concept of stochastic dominance is defined, and its relation to welfare, poverty, and income inequality explained. A brief discussion is provided of how statistical inference may be performed for hypotheses relating to stochastic dominance.

We develop a new method, based on the use of polar coordinates, to investigate the existence of moments for instrumental variables and related estimators in the linear regression model. For generalized IV estimators, we obtain familiar results. For JIVE, we obtain the new result that this...

It is known that Efron's nonparametric bootstrap of the mean of random variables with common distribution in the domain of attraction of the stable laws is not consistent, in the sense that the limiting distribution of the bootstrap mean is not the same as the limiting distribution of the mean...

Financial returns typically display heavy tails and some skewness, and cinditional vairance models with these features often outperform more limited models. The difference in performance may be especially important in estimating quantities that depend on tail features, including risk measures...

This paper proposes a new class of asymmetric Student-t (AST) distributions, and investigates its properties, gives procedures for estimation, and indicates applications in financial econometrics. We derive analytical expressions for the cdf, quantile function, moments, and quantities useful in...

We perform an extensive series of Monte Carlo experiments to compare the performance of the "Jacknife Instrumental Variables Estimator", or JIVE, with that of the more familiar 2SLS and LIML estimators. We find no evidence to suggest that JIVE should ever be used. It is always more dispersed...