This discussion paper led to a publication in <I>Economics Letters</I> (2014). Vol. 123(3), pages 291-294.<P> Hausman (1978) developed a widely-used model specification test that has passed the test of time. The test is based on two estimators, one being consistent under the null hypothesis but...</p></i>

See the article in the <I>Annals of Financial Economics</I> (2013). Volume 8, issue 2, pages 1-18.<P> In this paper, we develop a modified maximum likelihood (MML) estimator for the multiple linear regression model with underlying student t distribution. We obtain the closed form of the estimators, derive...</p></i>

This paper studies vector autoregressive models with parsimoniously time-varying parameters. The parameters are assumed to follow parsimonious random walks, where parsimony stems from the assumption that increments to the parameters have a non-zero probability of being exactly equal to zero. We...

In this paper the effect of excess narrow money (MI) on C PI intlation in Indonesiabefore, during, and after the Asian crisis is empirically examined. The standard model for themonetary analysis of inflation, i.e. the P-Star model by Hallman-Porter-Small (1991), isapplied and tested empirically...

This paper describes the origins of the logistic function, its adoption in bio-assay, and its wider acceptance in statistics. Its roots spread far back to the early 19th century; the survival of the term logistic and the wide application of the device have been determined decisively by the...

This discussion paper resulted in an article in 'Economic Development and Cultural Change', 2011, 60, 121-154. <P> In this paper we focus on the timing of marriages of women, whose marriages are associated with bride wealth payments, which are transfers from (the family of) the groom to the bride's...</p>

Disentangling age, period, and cohort effects in explaining health trends is crucial to assess future prevalences of health disorders. The identification problem -- age, period, and cohort effects are perfectly linearly related -- is tackled by modeling cohort and period effects using lifetime...

See the article in <I>Computers Environment and Urban Systems</I> (2013). Volume 38, pages 67-77.<P> This paper aims to provide a new methodological and empirical contribution to the rising literature on the relative performance and benchmarking of large cities in a competitive world. On the basis of a...</p></i>

Actual portfolios contain fewer stocks than are implied by standard financial analysis that balances the costs of diversification against the benefits in terms of the standard deviation of the returns. Suppose a safety first investor cares about downside risk and recognizes the heavytail feature...

Risk managers use portfolios to diversify away the unpriced risk of individual securities. In this article we compare the benefits of portfolio diversification for downside risk in case returns are normally distributed with the case of fat-tailed distributed returns. The downside risk of a...