In this paper we consider GMM based estimation and inference for the panel AR(1) model when the data are persistent and the time dimension of the panel is fixed. We find that the nature of the weak instruments problem of the Arellano-Bond estimator depends on the distributional properties of the...

In this paper we show that the Quasi ML estimation method yields consistent Random and Fixed Effects estimators for the autoregression parameter ρ in the panel AR(1) model with arbitrary initial conditions even when the errors are drawn from heterogenous distributions. We compare both...

In this paper we consider inference procedures for two types of dynamic linear panel data models with fixed effects. First, we show that the closure of the stationary ARMA panel model with fixed effects can be consistently estimated by the First Difference Maximum Likelihood Estimator and we...

In this paper, I examine the properties of the class of generalized empirical likelihood estimators of moment-condition models. These nonparametric likelihood estimators satisfy exactly the moment conditions and automatically remove any bias due to a lack of centering. Moreover, the bias of the...

This paper describes and analyses the use of the Filtered Historical Simulation algorithm in pricing spread options. Spread options are contracts whose payoff depends on the price difference (spread) between two or more underlying assets at a future date. Such kind of options are written in the...

The main problem in the combination of volatility forecasts is that the volatility cannot be directly observed and hence loss functions such as the MSFE cannot be directly used unless a suitable proxy of the conditional variance is defined. A common approach is to use the squared returns but...

A dynamic Tobit model with Time-varying parameters is proposed for the daily reaction function of the Open Market Desk of the US Federal Reserve. Such a model offers a more realistic depiction of the Desk's behavior than those of past contributions in the literature as it allows for both...

This paper considers two models to deal with an outcome variable that contains a large fraction of zeros, such as individual expenditures on health care: a sample-selection model and a two-part model. The sample-selection model uses two possibly correlated processes to determine the outcome: a...