We explore the extension of James-Stein type estimators in a direction that enables them topreserve their superiority when the sample size goes to infinity. Instead of shrinking a base estimatortowards a fixed point, we shrink it towards a data-dependent point. We provide an analytic expression...

Sharpe style regression has become a widespread analytic tool in the financial community. Thestyle regression allows one to investigate such interesting issues as style composition, style sensitivity, andstyle change over time. All previous methods to obtain the distribution and confidence...

Many economic and econometric applications require the integration of functions lacking a closed form antiderivative, which is therefore a task that can only be solved by numerical methods. We propose a new family of probability densities that can be used as substitutes and have the property of...

This paper proposes methods for estimation and inference in multivariate, multi-quantile models. The theory can simultaneously accommodate models with multiple random variables, multiple confidence levels, and multiple lags of the associated quantiles. The proposed framework can be conveniently...

This paper demonstrates the extensive scope of an alternative to standardinstrumental variables methods, namely covariate-based methods, for identifying and es-timating effects of interest in general structural systems. As we show, commonly usedeconometric methods, speci…cally parametric,...