Market Stress and Herding* We propose a new approach to detecting and measuring herding which is based on the cross-sectional dispersion of the factor sensitivity of assets within a given market. This method enables us to evaluate if there is herding towards particular sectors or styles in the market including the market index itself and critically we can also separate such herding from common ...

Health Care Expenditure and Income in the OECD Reconsidered: Evidence from Panel Data This paper reconsiders the long-run economic relationship between health care expenditure and income using a panel of 20 OECD countries observed over the period 1971-2004. In particular, the paper studies the non-stationarity and cointegration properties between health care spending and income. This is done in...

Fourteen polymorphic microsatellite loci were isolated in this transcriptome-based data analysis for Cotesia plutellae, which is an important larval parasitoid of the worldwide pest Plutella xylostella. A subsequent test was performed for a wild C. plutellae population (N = 32) from Fuzhou, Fujian, southeastern China, to verify the effectiveness of the 14 microsatellite loci in future studies o...

We propose a market-based approach to the modelling of implied volatility, in which the implied volatility surface is directly used as the state variable to describe the joint evolution of market prices of options and their underlying asset. We model the evolution of an implied volatility surface by representing it as a randomly fluctuating surface driven by a finite number of orthogonal random...

Peer Effects and Social Networks in Education This paper studies whether structural properties of friendship networks affect individual outcomes in education. We first develop a model that shows that, at the Nash equilibrium, the outcome of each individual embedded in a network is proportional to her Katz-Bonacich centrality measure. This measure takes into account both direct and indirect frie...

The objective of this paper is to identify and estimate network formation models using observed data on network structure. We characterize network formation as a simultaneous-move game, where the utility from forming a link depends on the structure of the network, thereby generating strategic interactions between links. Because a unique equilibrium may not exist, the parameters are not necessar...

What is the magnitude of credit constraint or credit gap affecting small businesses? This paper provides estimates of credit gap, defined as the difference between the desired and actual levels of debt for credit-constrained small businesses using the data from the National Survey of Small Business Finances. The estimated credit gap is approximately 20 percent – credit constrained small busines...

This paper proposes a semiparametric maximum likelihood estimator for both the intercept and slope parameters in a binary choice model under symmetry and index restrictions. The estimator attains the semiparametric e$ciency bound in Cosslett (1987) under the symmetry and independence restrictions. Compared with the estimator of Klein and Spady (1993), which attains the semiparametric e$ciency b...

Comparative Advantage, Segmentation and Informal Earnings: A Marginal Treatment Effects Approach This paper employs recently developed econometric models of marginal treatment effects to analyze the relevance of labor market comparative advantage and segmentation in the participation and earnings performance of workers in formal and informal jobs in Argentina. A novel household data set on info...

We study semiparametric two-step estimators which have the same structure as parametric doubly robust estimators in their second step, but retain a fully nonparametric specification in the first step. Such estimators exist in many economic applications, including a wide range of missing data and treatment effect models. We show that these estimators are √ n-consistent and asymptotically normal ...