This discussion paper led to a publication in <A href="http://www.sciencedirect.com/science/article/pii/S0167947304001562">'Computational Statistics & Data Analysis'</A>, 49(2), 417-44.<P>We examine the asymptotic efficiency of OLS and IV estimators in a simple dynamic structural model with a constant and two explanatory variables: the lagged dependent variable and an...</p></a>

Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility models. While variants of the GARCH model are applied in scores of articles, use of the stochastic volatility model is less widespread. In this article it is argued that one...

Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility models. While variants of the GARCH model are applied in scores of articles, use of the stochastic volatility model is less widespread. In this articleit is argued that one...

The system GMM estimator for dynamic panel data models combines moment conditions for the model in first differences with moment conditions for the model in levels. It has been shown to improve on the GMM estimator in the first differenced model in terms of bias and root mean squared error....

This discussion paper led to a publication in the <A href="http://www.sciencedirect.com/science/article/pii/S0304407605000618">'Journal of Econometrics'</A> 132(2), 409-44.<P>The finite sample behaviour is analysed of particular least squares (LS) andmethod of moments (MM) estimators in panel data models with individual effectsand both a lagged dependent variabIe regressor and...</p></a>

This discussion paper has led to a publication in <A href="http://books.google.nl/books?id=_YdZrLu5MKEC&dq=allesintitel:+%22The+Refinement+of+Econometric+Estimation+and+Test+Procedures%22&lr=&source=gbs_navlinks_s"><B>The Refinement of Econometric Estimation and Test Procedures</B></A>.<P>An attempt is made to set rules for a fair and fruitful competition between alternative inference methods based on their performance in simulation experiments. This leads to a list of...</p></b></a>

We propose a new estimator, the thresholded scaled Lasso, in high dimensional threshold regressions. First, we establish an upper bound on the <I>ℓ</I><SUB>∞</SUB> estimation error of the scaled Lasso estimator of Lee et al. (2012). This is a non-trivial task as the literature on high-dimensional models has...</sub></i>

This discussion paper resulted in a publication in <I>Economics Letters</I>. Vol. 79(2), pages 145-152.<P> The relative magnitudes are compared of successive terms in a higher-order asymptotic expansion of the bias of the LSDV estimator in dynamic panels. We find that the leading term accounts for the...</p></i>

Countless test statistics can be written as quadratic forms in certain random vectors, or ratios thereof. Consequently, their distribution has received considerable attention in the literature. Except for a few special cases, no closed-form expression for the cdf exists, and one resorts to...

Accurate prediction of risk measures such as Value at Risk (VaR) and Expected Shortfall (ES) requires precise estimation of the tail of the predictive distribution. Two novel concepts are introduced that offer a specific focus on this part of the predictive density: the censored posterior, a...