Regarding the asymmetric and leptokurtic behavior of financial data, we propose a new contagion test in the quantile regression framework that is robust to model misspecification. Unlike conventional correlation-based tests, the proposed quantile contagion test allows us to investigate the stock...

This paper considers linear panel data models with a grouped pattern of heterogeneity when the latent group membership structure and/or the values of slope coefficients change at a break point. We propose a least squares approach to jointly estimate the break point, group membership structure,...

In specifying a regression equation, we need to determine which regressors to include, but also how these regressors are measured. This gives rise to two levels of uncertainty: concepts (level 1) and measurements within each concept (level 2). In this paper we propose a hierarchical weighted...

This paper considers estimating the slope parameters and forecasting in potentially heterogeneous panel data regressions with a long time dimension. We propose a novel optimal pooling averaging estimator that makes an explicit trade-off between efficiency gains from pooling and bias due to...