Yoon-Jae Whang

In this article, we propose a general method for testing inequality restrictions on nonparametric functions. Our framework includes many nonparametric testing problems in a unified framework, with a number of possible applications in auction models, game theoretic models, wage inequality, and revealed preferences.

Doubly Robust Uniform Confidence Band for the Conditional Average Treatment Effect Function

The so-called leverage hypothesis is that negative shocks to prices/returns affect volatility more than equal positive shocks.

This paper proposes the cross-quantilogram to measure the quantile dependence between two time series.

In this paper, we propose a doubly robust method to present the heterogeneity of the average treatment effect with respect to observed covariates of interest.

We develop a general class of nonparametric tests for treatment effects conditional on covariates.

We propose a new statistical test of the stochastic dominance efficiency of a given portfolio over a class of portfolios.

The authors propose a new statistical test of the stochastic dominance efficiency of a given portfolio over a class of portfolios.

In this paper, we propose a general method for testing inequality restrictions on nonparametric functions.

This paper develops tests for inequality constraints of nonparametric regression functions.

This paper proposes a new statistical test of the stochastic dominance efficiency of a given portfolio over a class of portfolios.

This paper proposes an alternative way to test the leverage hypothesis, using realised volatility as an alternative direct nonparametric measure.

This paper presents a new estimator for the mixed proportional hazard model that allows for a nonparametric baseline hazard and time-varying regressors.