We examine several simulation-based estimators for the parameters of a moving average process, including the one initially proposed by Gourieroux, Monfort and Renault (1993) as well as several extensions based on Gallant and Tauchen (1994). The estimators are also compared and related to...

We provide the first empirical application of a new approach proposed by Lee (2007) to estimate peer effects in a linear-in-means model. This approach allows to control for group-level unobservables and to solve the reflection problem. We investigate peer effects in student achievement in...

This paper makes an attempt at testing the external validity of corruption experiments by moving from the lab in a developed country, to where it matters the most, the field in a developing country. In our experiment a candidate proposes a bribe to a grader in order to obtain a better grade. We...

We model the emulation between two athletes whose goals are fixed by their coaches. The coaches in turn engage in a game of goal setting. We analyze the equilibriums of that game. For some range of parameter values, there are only mixed equilibriums, where one coach randomizes his goals while...

This document offers a synthesis of the papers presented at the Conference on the Econometrics of Education: Modeling Selectivity and Outcomes, held at CIRANO, April 26 and 27, 2002. The papers serve as a pretext to draw a non exhaustive survey of the state of research in the economics of...

We assess the predictive accuracy of a large number of multivariate volatility models in terms of pricing options on the Dow Jones Industrial Average. We measure the value of model sophistication in terms of dollar losses by considering a set 248 multivariate models that differ in their...

Unlike European-type derivative securities, there are no simple analytic valuation formulas for American options, even when the underlying asset price has constant volatility. The early exercise feature considerably complicates the valuation of American contracts. The strategy taken in this...

The paper studies the degree of homogeneity of innovative behavior in order to determine empirically an industry classification of Dutch manufacturing that can be used for policy purposes. We use a two-limit tobit model with sample selection, which explains the decisions by business enterprises...

In this paper, we survey some of the recent nonparametric estimation methods which were developed to price derivative contracts. We focus on equity options and start with a so-called model-free approach which incolves very little financial theory. Next we discuss nonparametric and...

We propose methods for testing hypothesis of non-causality at various horizons, as defined in Dufour and Renault (1998, Econometrica). We study in detail the case of VAR models and we propose linear methods based on running vector autoregressions at different horizons. While the hypotheses...