We propose a three-step local polynomial procedure for a multivariate nonparametric regression in which the errors are autocorrelated. The proposed estimator uses all sample points to estimate m(x), the regression function evaluated at point x, but the contributions from all non-local points are...

Short-term surveys provide precious information for economic fluctuations analysis. In short-term surveys like the Business Tendency Survey, most of the questions are qualitative and concern the evolution of different economic factors of the business activity. They provide economic information...

In this note, we consider the relationship between oil price volatility and firm returns for 560 firms listed on the New York Stock Exchange. Using daily time series data from 2000 to 2008, we find that oil price volatility increases firm returns for the majority of the firms in our sample.

We study the impact of alternative detrending techniques on the distributional properties of U.S. output time series. We detrend GDP and industrial production time series employing first-differencing, Hodrick-Prescott and bandpass filters. We show that the resulting distributions can be...

This note reflects on the key parameter of the popular logistic quantal-response equilibrium in order to set some common guidelines on its empirical interpretation. It is stressed that the estimated model must be in harmony with the experimental design, because the estimation results on mu prove...

In many poor countries, the problem is not that governments do not invest, but that these investments do not create productive capital. So, the cost of public investments does not correspond to the value of the capital stocks. In this paper, we propose an original non parametric approach to...

An important aspect of household surveys is the design of consumption questions. A controlled experiment shows that a single question on total monthly nondurables expenditure and a design with 35 disaggregated categories produce different results. These differences vary with household...

This paper carries out a detailed survey of CGE and Microsimulation models used in the evaluation of issues related directly or indirectly to incomes distribution. Different model structures are discussed which have been employed for country-specific, multi-country and region-specific studies....

Cluster-corrected standard errors are widely used but may sometimes be inappropriate since household surveys are increasingly geo-referenced. Compared with the appropriate spatial error models that use details on exact locations, cluster corrections impose untested restrictions on spatial...

Empirical studies use the total area as a measure of land factor. This measure is flawed as it ignores the effectiveness of that total area. We develop an estimator of effective area based on spatial population distribution. The empirical application for the OECD countries highlights the...