This paper develops a new simulation estimation algorithm that is particularly useful for estimating dynamic panel data models with unobserved endogenous state variables. The new approach can deal with the commonly encountered and widely discussed ``initial conditions problem,'' as well as the...

This paper utilizes a nonparametric panel data sample selection model to correct selection bias in the analysis of longitudinal medical claims data. Selection bias in the health economics data is a common problem and many health economists have used Heckman type selection models in...

In this paper we investigate if there was a causal effect of changes in current and 'permanent' income on the health of East Germans in the years following reunification. Reunification was completely unanticipated and therefore can be seen as a providing some exogenous variation, which resulted...

What brings persistence into the macroeconomy? This is one of the big unresolved issues in current macroeconomic theory. Economic models, in fact, typically struggle to imply levels of persistence comparable to those observed in the data. Most of the persistence is therefore introduced by highly...

There is considerable disagreement in the empirical macro literature as to the degree of returns to scale in U.S. production. While many studies find evidence of a small degree of increasing returns, standard errors are typically large. This issue is of importance for assessing the possibility...

This article presents a non-Markovian regime switching model in which the regime states depend on the sign of an autoregressive latent variable. The magnitude of the latent variable indexes the `strength' of the state or how deeply the system is embedded in the current regime. The autoregressive...

Spatial models of voting behaviour are the dominant paradigm in political science. Consistent with this approach, it will be the case that, ceteris paribus, voters should vote for the party nearest to them on the political spectrum. A key question is how we measure nearness or distance. We...

This paper considers dynamic time series binary choice models. It shows in a time series setting the validity of the dynamic probit likelihood procedure when lags of the dependent binary variable are used as regressors, and it establishes the asymptotic validity of Horowitz' smoothed maximum...

This paper studies the bargaining game between the president and the congress when these two players have conflicting claims to a fixed amount of resources. I distinguish between situations of "pure divided government", that is when the congress is united "against" the president, and the...

We employ a regime-switching approach to the identification of banking crises. This approach reduces the arbitrariness in crisis identification by endogenizing the choices of crisis threshold and crisis duration. Using a sample of 47 countries, we show that this approach also subject to several...