A number of recent papers have concluded that stochastic volatility plays a prominent role in describing the business cycle, particularly for the characterization of monetary policy. The impact of including stochastic volatility in DSGE models remains, however, unexplored. This paper therefore...

The shape of the likelihood of several recently developed econometric models is often non-elliptical. Learning this shape using Gibbs sampling is discussed in this paper. A systematic analysis using graphical and computational methods is presented. Examples of the models considered in this paper...

This paper develops two methods for estimating the effect of schooling on achievement test scores that control for the endogeneity of schooling by postulating that both schooling and test scores are generated by a common unobserved latent ability. These methods are applied to data on schooling...

Recent empirical studies have demonstrated that behaviour of interest rate processes can be better explained if standard diffusion processes are augmented with jumps in the interest rate process. In this paper we examine the performance of both linear and non-linear one factor CKLS model in the...

In this paper we develop a likelihood based approach for estimating the joint equilibrium parameter distribution in random coefficient-random utility models. Under this demand specification and a profit maximizing supply specification, the equilibrium distribution of prices and quantities has an...

This note is made of four book reviews of Brooks et al. (2011), Karian and Dudewicz (2011), McGrayne (2010), and Ziliak and Mc- Closkey (2008), respectively. They are scheduled to appear in the next issue of CHANCE.

Abstract: In this paper, we review classical and advanced methodologies for analysing within-subject functional Magnetic Resonance Imaging (fMRI) data. Such data are usually acquired during sensory or cognitive experiments that aims at stimulating the subject in the scanner and eliciting evoked...

Using data from Spanish Social Security records, we investigate the returns to experience in different flexible work arrangements, including part-time and full-time work, and permanent and fixed-term contracts. We use a trivariate random effects model which consists of a three-equation system...