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...

In this article, we develop a general method for testing threshold effects in regression models, using sup-likelihood-ratio (LR)-type statistics. Although the sup-LR-type test statistic has been considered in the literature, our method for establishing the asymptotic null distribution is new and...

Many economic panel and dynamic models, such as rational behavior and Euler equations, imply that the parameters of interest are identified by conditional moment restrictions. We introduce a novel inference method without any prior information about which conditioning instruments are weak or...

While applications of big data analytics have brought many new opportunities to economic research, with datasets containing tens of millions of observations, making usual econometric inferences based on extreme estimators would require huge computing powers and memories that are often not...