This paper studies in some detail a class of high frequency based volatility (HEAVY) models.  These models are direct models of daily asset return volatility based on realized measures constructed from high frequency data.  Our analysis identifies that the models have momentum and mean...

This paper provides methods for carrying out likelihood based inference for diffusion driven models, for example discretely observed multivariate diffusions, continuous time stochastic volatility models and counting process models. The diffusions can potentially be non-stationary. Although our...

This paper is concerned with the Bayesian estimation of non-linear stochastic differential equations when only discrete observations are available. The estimation is carried out using a tuned MCMC method, in particular a blocked Metropolis-Hastings algorithm, by introducing auxiliary points and...

In this paper we exploit the specific structure of the Euler equation and develop two alternative GMM estimators that deal explicitly with measurement error. The first estimator assumes that the measurement error is lognormally distributed. The second estimator drops the distributional...

This paper analyzes measurement errors in crime data to see how they impact econometric estimates, particularly of the key relationship between inequality and crime. Criminal victimization surveys of 140,000 respondents in 37 industrial, transition and developing countries are used. Comparing...

Several recent studies in labour and population economics use retrospective surveys to substitute for the high cost and limited availability of longitudinal survey data. Although a single interview can obtain a lifetime history, inaccurate long-term recall could make such retrospective surveys a...

The economies of the former Soviet Bloc experienced large declines in output during the decade of transition which began with the collapse of the Soviet Union in 1991. Yet there are many reasons to believe that measured output and official deflators provide a poor proxy for the change in real...

In this paper we have two objectives - one empirical; one methodological. Although China’s leaders are beginning to pay attention to health care in rural China, there are still concerns about access to health services. To examine this issue, we use measures of travel distances to health...

The income of the self-employed is often assumed to be understated in economic statistics. Debate exists about the extent of under-reporting and the resulting measures of the size of the underground economy. This paper refines a method developed by Pissarides and Weber (1989) and uses...

Estimates of household size economies are needed for the analysis of poverty and inequality. This paper shows that Engel estimates of size economies are large when household expenditures are obtained by respondent recall but small when expenditures are obtained by daily recording in diaries....