We examine properties of permutation tests in the context of synthetic control. Permutation tests are frequently used methods of inference for synthetic control when the number of potential control units is small. We analyze the permutation tests from a repeated sampling perspective and show...

We examine properties of the LM test of overdispersion when the alternative is characterized by arbitrary correlated random effects. We first derive a result that a natural test to detect such arbitrary correlated random effects would take the form of the test of conditional moment restriction,...

This paper studies the two-step sieve M estimation of general semi/nonparametric models, where the second step involves sieve estimation of unknown functions that may use the nonparametric estimates from the first step as inputs, and the parameters of interest are functionals of unknown...

We show the usefulness of the path-derivative calculations that were introduced in econometrics by Newey (1994) for multi-step semi-parametric estimators. These estimators estimate a finite-dimensional parameter using moment conditions that depend on nonparametric regressions on observed and...

Value-at-Risk (VaR) has emerged as the standard tool for measuring and reporting financial market risk. Currently, more than eighty commercial vendors offer enterprise or trading risk management systems which report VaR-like measures. Risk managers are therefore often left with the daunting task...