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...

Berry, Levinsohn, and Pakes (1995) developed an estimator for an equilibium model of differentiated products markets using aggregate data, without assuming the existence of a representative agent, or imposing prior restrictions on elasticities. Their estimator though, was computationally...

A high degree of cyclical synchronization between the new EU member states (NMS) from Central and Eastern Europe and the euro area is generally seen as a prerequisite for successful EMU enlargement. We establish stylized facts on economic linkages between NMS and the euro area using dynamic...

While the conditional volatility of time series is always dependent of the model specification, the {\\em ex post} or realized volatility series is often constructed on a model-free basis. The common proxies of daily volatility in the literature are the squared daily asset returns and the sum of...

Long-range dependence in volatility is one of the most prominent examples of applications in financial market research involving universal power laws. Its characterization has recently spurred attempts at theoretical explanation of the underlying mechanism. This paper contributes to this recent...

The problem of constructing confidence set estimates for parameter ratios arises in a variety of econometrics contexts; these include value-of-time estimation in transportation research and inference on elasticities given several model specifications. Even when the model under consideration is...