We propose non-nested hypotheses tests for conditional moment restriction models based on the method of generalized empirical likelihood (GEL). By utilizing the implied GEL probabilities from a sequence of unconditional moment restrictions that contains equivalent information of the conditional...

We propose a novel two-regime regression model where the switching between the regimes is driven by a vector of possibly unobservable factors. When the factors are latent, we estimate them by the principal component analysis of a much larger panel data set. Our approach enriches conventional...

We consider a high-dimensional regression model with a possible change-point due to a covariate threshold and develop the Lasso estimator of regression coefficients as well as the threshold parameter. Our Lasso estimator not only selects covariates but also selects a model between linear and...