This paper builds on Kočenda (2001) and extends it in two ways. First, two new intervals of the proximity parameter ε (over which the correlation integral is calculated) are specified. For these ε- ranges new critical values for various lengths of the data sets are introduced and through...

Testing for unit roots in short-term interest rates plays a key role in the empirical modelling of these series. It is widely assumed that the volatility of interest rates follows some time-varying function which is dependent of the level of the series. This may cause distortions in the...

This paper extends and generalizes the BDS test presented by Brock, Dechert, Scheinkman, and LeBaron (1996). In doing so it aims to remove the limitation of having to arbitrarily select a proximity parameter by integrating across the correlation integral. The Monte Carlo simulation is used to...

An exogenous impact function is defined as the derivative of a structural function with respect to an endogenous variable, other variables, including unobservable variables held fixed. Unobservable variables are fixed at specific quantiles of their marginal distributions. Exogenous impact...

Two probit simulators are described that are conceptually and computationally simple. The first is based on simulating the utilities of the non-chosen alternatives and calculating the probability that the chosen alternative's utility exceeds this maximum. This simulator is apparently new. The...

The standard confidence regions based on the first-order approximation of quantile regression estimators can be inaccurate in small samples. We show that confidence regions based on the smoothed empirical likelihood ratio have coverage errors of order n^{-1} and may be Bartlett-corrected to...

This paper revisits the question if the user cost of capital plays an important role for investment decisions using Bayesian estimation techniques. These methods offer advantages over classical econometric tools in this area: The most important are that prior distributions offer a convincing way...

In contrast to a posterior analysis given a particular sampling model, posterior model probabilities in the context of model uncertainty are typically rather sensitive to the specification of the prior. In particular, "diffuse'' priors on model-specific parameters can lead to quite unexpected...

The simulation variance in the estimation of mixed logit parameters is found, in our application, to be lower with 100 Halton draws than with 1000 random draws. This finding confirms Bhat's (1999a) results and implies significant reduction in run times for mixed logit estimation. Further...