Model selection is difficult to analyse yet theoretically and empirically important, especially for high-dimensional data analysis. Recently the least absolute shrinkage and selection operator (Lasso) has been applied in the statistical and econometric literature. Consis- tency of Lasso has been...

In this paper, we study the generalization ability (GA)---the ability of a model to predict outcomes in new samples from the same population---of the extremum estimators. By adapting the classical concentration inequalities, we propose upper bounds for the empirical out-of-sample prediction...

In this paper, we study the performance of extremum estimators from the perspective of generalization ability (GA): the ability of a model to predict outcomes in new samples from the same population. By adapting the classical concentration inequalities, we derive upper bounds on the empirical...

Essay 1: Integrated Conditional MomentTest for Parametric Conditional Distributions (with Herman J. Bierens)This paper extends the Integrated Conditional Moment (ICM) test for the functional form of nonlinear regression models to tests for parametric conditional distributions. This test is...

CHAPTER 1 (with Joris Pinkse, Margaret Slade, and John Van Reenen): Spillovers in Space: Does Geography Matter?We simultaneously assess the contributions to productivity of three sources of research and development spillovers: geographic, technology and product--market proximity. To do this, we...

Nonparametric function estimation via local polynomial regression has been widely studied in the literature, especially in the past two decades. In practice, we confront two challenges. Firstly, the local least squares estimator may not be the best choice when errors are heavily tailed....

Probabilistic forecasts play a significant role in a wide variety of economics activities. However, established econometric modeling approaches for probabilistic forecasts may yield unsatisfactory forecasting performance due to model misspecification. In my dissertation, I try to minimize such a...

In their attempts to become more open, policy makers can, with the best of intentions, adopt policies that have unforeseen and often undesirable side effects. Australia, New Zealand and Colombia in 1980s and 90s, attempted a gradual phase out of quantitative restrictions by converting quotas to...

The analysis of auctions is an active area of research for both theoretical and empirical economists. Concentrating on a particular auction format, namely the First--Price Sealed--Bid auction, this dissertation contributes to the analysis of auction both from a methodological viewpoint and from...

CHAPTER 1: The Great Russian Devaluation and Labor DemandDoes a greater degree of integration into world markets lead to a more elastic demand for labor? Often referred to as the Rodrik hypothesis, this question, despite being important from both theoretical and applied policy standpoints, is...