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...

In this paper we compare the size and the power of four cointegration tests in heterogeneous panel data, with both varying intercepts and slopes. These tests are (i) Kao (1999) Tests (both Dickey-Fuller (DF) and augmented Dickey-Fuller (ADF) types of cointegration tests in panel data), (ii)...

This paper examines the relation between dollar-real exchange rate volatility implied in option prices and subsequent realized volatility. It investigates whether implied volatilities contain information about volatility over the remaining life of the option which is not present in past returns....

Recent empirical evidence suggests that the weekend and holiday calendar effects are much stronger and statistically significant in volatility as opposed to expected returns. This paper seeks an explanation for this empirical finding by undertaking a comprehensive investigation of the predictive...

In this paper, we consider testing marginal distributional assumptions. Special cases that we consider are the Pearson's family like the Gaussian, Student, Gamma, Beta and uniform distributions. The test statistics we consider are based on the first moment conditions derived by Hansen and...

There is a growing literature on unit root testing in threshold autoregressive models. This paper makes two contributions to the literature. First, an asymptotic theory is developed for unit root testing in a threshold autoregression, in which the errors are allowed to be dependent and...

Techniques for simulated maximum likelihood (SML) estimation, filtering, and assessing the fit of stochastic volatility models are examined. Both one- and two-factor models (with leverage effects) are considered. The techniques are computationally efficient, robust, straightforward to implement,...

This paper develops a dynamic stochastic model to examine the joint patent application and renewal behavior under an international patent protection regime. This framework makes it possible to utilize both the cross-sectional (multi-country filing) and the time-series (patent renewal) dimensions...

Most of the literature on testing ARCH models focuses on the null hypothesis of no-ARCH effects. In this paper, we consider the general problem of testing any possible set of coefficient values in ARCH models, which may be non-stationary, with Gaussian and non-Gaussian errors, as well as with...

This paper provides a new approach to testing cointegration parameters in a single-equation cointegration environment. The novelty is in improving over the well-known heteroscedasticity and autocorrelation consistent (HAC) robust standard errors using fixed bandwidth (fixed-b) asymptotic theory...