This paper explores the link between crime and corruption, compares their magnitudes, determinants and their effects on growth rates. The study uses a large cross country data set containing individual responses to questions on crime and corruption along with information on the respondents’...

A Kalman filter, suitable for application to a stationary or a non-stationary time series, is proposed. It works on time series with missing values. It can be used on seasonal time series where the associated state space model may not satisfy the traditional observability condition. A new...

The main objective of this study is to investigate the rebustness of the popular Durbin-Watson (DW), Langrage multiplier (LM), Box-Pierce (BP) and Ljung-Box (LB) tests and their corrected versions against autoregressive distrurbances in the presence of dynamic heteroscedastic disturbances with...

The presence of nuisance parameters causes unwanted complications in statistical and econometric inference procedures. A number of modified likelihood and message length functions have been developed for better handling of nuisance parameters but they are not equally efficient. In this paper, we...

The problem of constructing prediction intervals for linear time series (ARIMA) models is examined. The aim is to find prediction intervals which incorporate an allowance for sampling error associated with parameter estimates. The effect of constraints on parameters arising from stationary and...

In this paper two new estimators are offred (one each for the fixed random effects specifications), and small sample performance compared with that of all the existing estimators.

This study proposes a new approach to estimation of the time series properties of daily volatility in financial markets.

Volatility smiles arise in currency option markets when empirical exchange rate returns distributions exhibit leptokurtosis. This feature of empirical distributions is symptomatic of turbulent periods when exchange rate movements are in excess of movements based on the assumption of normality....

The contribution of this paper is both methodological and empirical. It proposes a methodology for evaluating the distributional implications of price movement for inequality and poverty measurement. The methodology is based on a distinction between inequalities in nominal expenditures, where...

The contribution of this paper is both methodological and empirical. It proposes a methodology for evaluating the distributional implications of price movement for inequality and poverty measurement. The methodology is based on a distinction between inequalities in nominal expenditures, where...