Traditionally, econometric research on social interaction effects has used fairly large social groups (schools, Census tracts, etc.). However, new data which describes the behavior of much smaller peer groups is becoming available. This paper analyzes the behavior of "small neighborhoods" in the...

The attractiveness of spatial autoregressive models has increased significantly. The awareness of important spatial interactions arose in various fields. In economics, interactions can be due to interdependencies between entities such as states, firms, or consumers. Examples are spatial...

The authors structurally estimate and evaluate, for the U.S., the E.U., and Canada, various classes of recently-proposed Calvo-type models, using identification-robust methods. The models differ in their assumptions regarding price indexation (when firms cannot re-optimize their pices), in the...

In this paper we attempt to provide evidence on the structure of technology in the three industrial branches of French economy, when capital is treated as quasi-fixed input. However instead of choosing a single functional form as an approximation to the variable cost function, modified versions...

This paper compares the goodness-of-fit and the stability of six methods used to extract risk-neutral probability density functions from currency option prices. We first compare five existing methods commonly employed to recover risk-neutral density functions from option prices. Specifically, we...

This paper analyzes the dynamics of prices and wages using a limited information approach to estimation. I consider a two-equation model for the determination of prices and wages derived from an optimization-based dynamic model, where both goods and labor markets are monopolistically...

It is common in DSGE models that aim to explain the impact of monetary policy on economic variables to identify prices by assuming lump-sum transfers of money. The consequence of this is that the interest rule in these models must be of the Taylor-rule type. In this paper we explore the...

Time series with long-memory behavior have recently received much attention. Much interest attaches to parameter estimation in the ARFIMA model by considering different situations of this process, and specifically when there are missing observations. This is the focus of this paper. To estimate...

This paper considers the use of the long-memory, semi-parametric estimators to test unit-root and non-cointegrated processes under fractional alternatives. Critical-point values of the proposed tests are given for different sample sizes. The ADF test is used for comparison purposes. The...

This paper utilizes two different classification techniques to explore issues in the development of an early warning system for sovereign default. Specifically, the paper develops K-means clustering and logit models to illustrate how the optimal choice of parameters, such as assignment rule of...