This paper discusses how specification of probabilistic models for multistate duration data generated by individual choices should be justified on a priori theoretical grounds. Preferences are assumed represented by random utilities, where utilities are viewed as random also to the agent...

General Method of Moments (GMM) estimation of a linear one-equation model using panel data with errors-in-variables is considered. To eliminate fixed individual heterogeneity, the equation is differenced across one or more than one periods and estimated by means of instrumental variables. With...

This paper aims to develop new methods for statistical inference in a class of stochastic volatility models for financial data based on non-Gaussian Ornstein-Uhlenbeck (OU) processes. Our approach uses indirect inference methods: First, a quasi-likelihood for the actual data is estimated. This...

This paper extends the ordinary quasi-likelihood estimator for stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck (OU) processes to vector processes. Despite the fact that multivariate modeling of asset returns is essential for portfolio optimization and risk management --...

We use a dynamic factor model and a detailed panel data set with quarterly accounts data on all Norwegian banks to study the effects of banks' funding costs on their retail rates. Banks' funds are categorized into two groups: customer deposits and long-term wholesale funding (market funding from...

Simultaneity represents a fundamental problem when estimating the elasticity of substitution between capital and labour. To overcome this problem, a wide variety of external instruments has been applied in the literature. However, the use of instruments may lead to wrong inference if they are...

Previous empirical evidence indicates that uncovered interest rate parity (UIP) does not hold for target zone exchange rates, like those in the European Monetary System and in the Nordic countries. We explore a target zone model where the market inferes the probability of a realignment of the...

Dynamic discrete-choice models have been an important tool in studies of state dependence in benefit receipt. An assumption of such models is that benefit receipt sequences follow a conditional Markov process. This property has implications for how estimated period-to-period benefit transition...

This paper analyzes the (re)entry of Norwegian mothers into full-time and part-time employment following the first and second birth. Based on theories of job search and human capital depreciation and appreciation a semi-parametric hazard model is estimated, expressing the entry rate as a...

An important problem in the analysis of intertemporal choice processes is how to justify the choice of mathematical structure of the transition probabilities. A related and delicate identification problem is to separate the effect of unobserved variables from the influence on preferences from...