This paper describes a way of recording information on discrete states by means of a technique called key transformation. This involves recognising that, where N discrete states of a variable are observed T groups or periods, any particular combination of states and periods can be uniquely...

This paper estimates the relationship between the choice of website and the characteristics of the individual making this choice. What explain consumer website choice and is this consumer loyal to the same website? This paper approaches this question by modelling individual’s website...

This paper develops a general method for conducting exact small-sample inference in models which allow the estimator of the (scalar) parameter of interest to be expressed as the root of an estimating function, and which is particularly simple to implement for linear models with a covariance...

I consider two filtering algorithms (quadrature and mixture Gaussian) based on numerical integration for maximum likelihood estimation of stochastic volatility models with leverage. These algorithms extend straightforwardly to stochastic volatility models with non-Gaussian innovations. A small...

Fully specified DSGE models are increasingly successful in explaining observed macroeconomic data. Thinking about the specification of a certain equation in a DSGE approach has the drawback of imposing many implicit priors on the specification of the remaining equations. Mis-specifications in...

We estimate a small open economy DSGE model for the euro area. The household sector optimises an intertemporal utility function with habit persistence. Households decide about asset accumulation, consumption and sets wages in a monopolistically competitive labour market. Households trade bonds...

This paper considers estimation and inference in panel vector autoregressions (PVARs) with fixed effects when the time dimension is finite and the cross-sectional dimension is large. A Maximum Likelihood (ML) estimator based on a transformed likelihood function is proposed and shown to be...