The interpretation of dummy variables in regressions where the dependent variable is subject to a log transformation has been of continuing interest in economics. However, in the main, these earlier papers do not deal with the inferential aspects of the parameters estimated. In this paper we...

Elasticities are often estimated from the results of demand analysis however, drawing inferences from them may involve assumptions that could influence the outcome. In this paper we investigate one of the most common forms of elasticity which is defined as a ratio of estimated relationships and...

Poskitt and Skeels (2005) provide a new approximation to the sampling distribution of the IV estimator in a simultaneous equations model, the approximation is appropriate when the concentration parameter associated with the reduced form model is small. We present approximations to the sampling...

focus on the ability of the instrument set to predict a single endogenous regressor, even if there is more than one endogenous regressor in the equation of interest. We propose new measures of instrument relevance in the presence of multiple endogenous regressors, taking both univariate and...

This paper describes the estimation and testing of regression models that include multivariate generated or computed regressors in the presence of heteroskedasticity in the cross-section case. Heteroskedasticity is often a problem in cross-section data and the usual tests for its presence can...

Spillover and contagion eects have gained significant interest in the recent years of financial crisis. Attention has not only been directed to relations between returns of financial variables, but to spillovers in risk as well. I use the family of Constant Conditional Correlation GARCH models...

This paper examines take-up rates in a simple model in which there is a single means-tested benefit involving a 'taper rate' at which benefits are withdrawn as earnings increase. There is a fixed cost of applying for benefits. The model involves a joint decision regarding both labour supply and...

This paper considers the question whether it is possible, using information about only the distribution of earnings, to identify some of the labour supply incentive effects of a tax and transfer system.

Students are very interested in lecture examples and class exercises involving data connected to the maiden voyage and the sinking of the liner Titanic. Information on the passengers and their fate can be used to explore relationships between various tests for differences in survival rates...

Evidence suggests that short-term interest rate volatility peaks with the level of short rates, while equity volatility responds asymmetrically to positive and negative shocks. We present an LM based test that distinguishes between level effects and asymmetry in volatility which is robust to the...