We propose a Bayesian procedure for multiple outlier detection in linear models avoiding the masking problem. Our proposal is illustrated with several examples in which our procedure outperforms other recent methods for multiple outlier detection. The posterior probabilities of each data point...

The objective of this paper is to identify the determinants of office capitalization rates for a panel of 52 countries (developed and emerging countries) between 2000 and 2006. Our assumption, based on a Capital Asset Pricing Model, is that the capitalization rate should be at least proportional...

The inception of the Emission Trading System in Europe (EU-ETS) has made power price more expensive. This affects the competitiveness of electricity intensive industrial consumers and may force them to leave Europe. Taking up of a proposal of the industrial sector, we explore the possible...

This study is devoted to studying households' decisions about moving and about whether to rent or own after moving. It employs dynamic discrete choice models which condition households' decisions on their circumstances at every point in time during the length of the observation while accounting...

Commodity currency literature recently stressed the importance of commodity prices as a determinant of real exchange rates in developing countries (Cashin, Cespedes and Sahay 2004). We provide new empirical evidence on this issue by focusing on countries which are specialized in the ex-port of...

Value-added analysis is a common tool in analysing school performances. In this paper, we analyse the SIMCE panel data which provides individual scores of about 200,000 students in Chile, and whose aim is to rank schools according to their educational achievement. Based on the data collection...

In this paper, we study maximum likelihood estimation and Lagrange multiplier testing of a one-way error components regression model suitable for incomplete panel and including parametrically specified variance functions for both individual-specific and general error disturbances.

This paper presents a method capable of estimating richly parametrized versions of the dynamic conditional correlation (DCC) model that go beyond the standard scalar case. The algorithm is based on the maximization of a Gaussian quasi-likelihood using a Bregman-proximal trust-region method to...

We propose a practical and flexible solution to introduce skewness in multivariate symmetrical distributions. Applying this procedure to the multivariate Student density leads to a "multivariate skew-Student" density, for which each marginal has a different asymmetry coefficient. Similarly, when...

We present an indirect estimation approach for elliptical stable distributions which relies on the use of a multivariate t distribution as auxiliary model. This distribution is also elliptical and we show that its parameters have a one-to-one relationship with those of the elliptical stable,...