We analyse the effect of the uncertainty about the fundamentals on the probability of sudden stops of capital flows from a theoretical and empirical perspective. Our model predicts that the probability of crises increases with the uncertainty, ie. the dispersion of private signals about the true...

This paper analyzes the impact of uncertainty on the spread of stock market crises, both theoretically and empirically. The effect of uncertainty about the fundamentals on investment decisions is an important cause of financial crises propagating across countries. Firstly, a coordination game on...

In this note, I will look at history of Lasso estimation, which is the benchmark high dimensional estimation technique. I want to also give a perspective where Lasso may be evolving.

It is common in applied econometrics to test the null hypothesis of a level-stationary process against the alternative of a unit root process. We show that the use of conventional asymptotic critical values for the stationarity tests of Kwiatkowski et al. (1992) and Leybourne and McCabe (1994)...

We propose a new estimator, the thresholded scaled Lasso, in high dimensional threshold regressions. First, we establish an upper bound on the <I>ℓ</I><SUB>∞</SUB> estimation error of the scaled Lasso estimator of Lee et al. (2012). This is a non-trivial task as the literature on high-dimensional models has...</sub></i>

We provide a new theory for nodewise regression when the residuals from a fitted factor model are used to apply our results to the analysis of maximum Sharpe ratio when the number of assets in a portfolio is larger than its time span. We introduce a new hybrid model where factor models are...

We propose a pretest, bootstrap Kolmogorov-Smirnov test, to differentiate between weak and nearly-weak asymptotics. This is based on bootstrapping Wald Continuous Updating Estimator (CUE) based test. Since Wald CUE test has different limits under weak and nearly-weak cases this can be used in a...