This paper develops a test for monotonicity of nonparametric regression models under endogeneity, which in its generality is novel in the literature.  The test statistic, which is built upon a second order U-process, introduces 'correction terms' based on control functions that purge the...

Economies are so high dimensional and non-constant that many features of models cannot be derived by prior reasoning, intrinsically involving empirical discovery and requiring theory evaluation.  Despite important differences, discovery and evaluation in economics are similar to those of...

Even in scientific disciplines, forecast failures occur.  Four possible states of nature (a model is good or bad, and it forecasts well or badly) are examined using a forecast-error taxonomy, which traces the many possible sources of forecast errors.  This analysis shows that a valid model can...

This paper proposes a "Flexible Disequilibrium Model" (FDM) which allows for a flexible specification of technology and of firm-level heterogeneity in technical and allocative efficiency levels. FDM is implemented on a G-5 banking dataset covering the period 1989-1996. Significant scale...

This paper discusses and documents the algorithms of SsfPack 2.2. SsfPack is a suite of C routines for carrying out computations involving the statistical analysis of univariate and multivariate models in state space form. The emphasis is on documenting the link we have made to the Ox computing...

For financial assets whose best quotes almost always change by jumping by the market`s price tick size (one cent, five cents, etc.), this paper proposes an estimator of Quadratic Variation which controls for microstructure effects. It measures the prevalence of alternations, where quotes jump...

This paper studies the stability of nonlinear autoregressive models with conditionality heteroskedastic errors. We consider a nonlinear autoregression of order p (AR(p)) with the conditional variance specified as a nonlinear first order generalized autoregressive conditional heteroskedasticity...

Specific functional forms are often used in economic models of distributions; goodness-of-fit measures are used to assess whether a functional form is appropriate in the light of real-world data.  Standard approaches use a distance criterion based on the EDF, an aggregation of differences in...

This paper studies a class of Markov models which consist of two components. Typically, one of the components is observable and the other is unobservable or `hidden`. Conditions under which geometric ergodicity of the unobservable component is inherited by the joint process formed of the two...

Financial assets` quoted prices normally change through frequent revisions, or jumps. For markets where quotes are almost always revised by the minimum price tick, this paper proposes a new estimator of Quadratic Variation which is robust to microstructure effects. It compares the number of...