This paper develops a new methodology for estimating and testing conditional factor models in finance. We propose a two-stage procedure that naturally unifies the two existing approaches in the finance literature–the parametric approach and the nonparametric approach. Our combined approach...

Previous authors have raised the concern that there could be serious survival bias in the observed U.S. equity premium. Contrary to conventional wisdom, we argue that the survival bias in the U.S. data is unlikely to be significant. To reach this conclusion, we introduce a general framework for...

We characterize the dynamics of the US short-term interest rate using a Markov regime-switching model. Using a test developed by Garcia, we show that there are two regimes in the data: In one regime, the short rate behaves like a random walk with low volatility; in another regime, it exhibits...

We develop a specification test and a sequence of model selection procedures for non-nested, overlapping, and nested models based on the second Hansen-Jagannathan distance, which requires a good asset pricing model to not only have small pricing errors but also be arbitrage free. Our methods...

In this paper, we consider sieve instrumental variable quantile regression (IVQR) estimation of functional coefficient models where the coefficients of endogenous regressors are unknown functions of some exogenous covariates. We approximate the unknown functional coefficients by some basis...

We consider the problem of determining the number of factors and selecting the proper regressors in linear dynamic panel data models with interactive fixed effects. Based on the preliminary estimates of the slope parameters and factors a la Bai and Ng (2009) and Moon and Weidner (2014a), we...

An expanding literature exists to suggest that the trading mechanism can influence the volatility of security returns. This study adds to this literature by examining the impact that the introduction of SETS, on the London Stock Exchange, had on the volatility of security returns. Using a Markov...

This study examines the impacts of reforms – privatization, new entry and independent regulatory authority – on mobile network penetration and expansion using a new and hitherto unused panel dataset for 30 national mobile markets (i.e. 29 OECD countries and China) over the time period...

Eco-knowledge city is a new concept for the world’s urban studies, an all-new urban form, and concept of urban development and strategy. The core of eco-knowledge city is to surpass the traditional urban development model of industrial society strategically, to purposely encourage...