This paper deals with the issues of identification and estimation in the canonical model of contagion advanced in Pesaran and Pick (2007). The model is a two-equation nonlinear simultaneous equations system with endogenous dummy variables; it also represents an extension of univariate threshold...

A detailed Net Present Value (NPV) model has been developed to evaluate the economic viability of an Integrated Gasification Combined Cycle – Membrane Reactor (IGCC-MR) power plant intended to provide an electricity generating and pure H2 (hydrogen) producing technology option with...

This paper considers the key economic risks associated with nuclear power. The authors observe that the bulk of the risks of a nuclear power station project fall during the roughly five year period of plant construction. This window of risk follows a lengthy siting process and comes before power...

This argues for a closer link between the modelling of the long-run relations in applied economics and the intertemporal equilibrium notion from economic theory.

This paper considers testing the hypothesis that errors in a panel data model are weakly cross sectionally dependent, using the exponent of cross-sectional dependence <img src="http://www.econ.cam.ac.uk/faculty/pesaran/wp12/image3.png" width="11" height="13" />, introduced recently in Bailey, Kapetanios and Pesaran (2012). It is shown that the implicit null of the <em>CD</em> test depends on the...

This paper takes a computationnaly simple LS approach to develop a more efficient estimation procedure, which we call Residual Augmented Least Square (RALS), than OLS when the errors are not normally distributed. The efficiency gain is from manipulating the higher moment conditions implied by...

This paper presents a new approach to estimation and inference in panel data models with unobserved common factors possibly correlated with exogenously given individual-specific regressors and/or the observed common effects. The basic idea behind the proposed estimation procedure is to filter...

This paper considers alternative approaches to the analysis of large panel data models in the presence of error cross section dependence. A popular method for modelling such dependence uses a factor error structure. Such models raise new problems for estimation and inference. This paper compares...

Recognizing the problems of estimation error in computing risk premia via arbitrage pricing, this paper provides a Bayesian methodology for estimating factor risk premia and hence equity risk premia for both traded and non-traded factors. Some illustrative calculations based on UK equity are...

For high dimensional data sets the sample covariance matrix is usually unbiased but noisy if the sample is not large enough. Shrinking the sample covariance towards a constrained, low dimensional estimator can be used to mitigate the sample variability. By doing so, we introduce bias, but reduce...