We propose serial correlation robust asymptotic confidence bands for the receiver operating characteristic (ROC) curves estimated by quasi-maximum likelihood in the binormal model. Our simulation experiments confirm that this new method performs fairly well in finite samples. The conventional procedure is found to be markedly undersized in terms of yielding empirical coverage probabilities lowe...

This paper considers identification and estimation of structural interaction effects in a social interaction model. The model allows unobservables in the group structure, which may be correlated with included regressors. We show that both the endogenous and exogenous interaction effects can be identified if there are sufficient variations in group sizes. We consider the estimation of the model ...

Empirical growth research faces a high degree of model uncertainty. The current paper deals with the fundamental issue of parameter estimation under model uncertainty, and compares the performance of various model averaging techniques. In particular, it contrasts Bayesian model averaging (BMA) — currently one of the standard methods used in growth empirics — with a new method called weighted-av...

We develop semiparametric and instrumental-variables approaches to self-selection problems in comparisons of wage inequality between educational groups. We propose new estimators to identify the causal effect of college education on scale parameters of wage distributions, using symmetry conditions on the joint distribution of outcome and selection errors, along with kernel weighting schemes. A ...

Modelling stock return generating process as a single factor model, we show analytically that the relation between idiosyncratic volatility measured as variance of the residuals and expected stock return in the cross-section may be represented by a parabola that opens to the left and has horizontal axis. This relation is uncovered for stocks of similar volatility and no abnormal return. The sen...

We estimate an equilibrium model of decision-making in the US Supreme Court which takes into account both private information and ideological differences between justices. We measure the value of information in the court by the probability that a justice votes differently from how she would have voted without case-specific information. Our results suggest a sizable value of information: in 44% ...

This paper investigates cost and profit efficiency of German hospitals. More specifically, it deals with the question how hospital efficiency varies with ownership, patient structure, and other exogenous factors, which are neither inputs nor outputs of the production process. We conduct a Stochastic Frontier Analysis (SFA) on a multifaceted administrative German dataset combined with the balanc...

In this paper, we study the transmission of an asymptotic bias in two-stage regressions with non-iid errors and random regressors in which the possible endogeneity of some explanatory variables is treated via first-stage predictive equations. In particular, we characterise the transmission of an asymptotic bias in the first-stage estimates to the secondstage estimates. As an example, we fully d...

This paper investigates cost and profit efficiency of German hospitals. More specifically, it deals with the question how hospital efficiency varies with ownership, patient structure, and other exogenous factors, which are neither inputs nor outputs of the production process. We conduct a Stochastic Frontier Analysis (SFA) on a multifaceted administrative German dataset combined with the balanc...

This paper extends the panel threshold regression of Hansen (1999) and Kourtellos, Stengos and Tan (2007) to allow for endogeneity of the threshold variable. We consider the static linear panels with fixed effect. The modified concentrated two-stage least square methods that are based on inverse Mills ratio bias correction terms are proposed to estimate threshold parameters. Our estimators are ...