Using households with a pair of male-female siblings from DHS surveys, this paper estimates gender based within-household inequality in immunization status of children (aged 1-5 years) from Bangladesh, India, Nepal and Pakistan. I find substantial level of gender based within-household...

This paper introduces the fractionally integrated Bi-parameter smooth transition autoregressive model (FI-BSTAR model) as an extension of BSTAR model proposed by Siliverstovs (2005) and the fractionally integrated STAR model (FI-STAR model) proposed by van Dijk et al. (2002). Our FI-BSTAR model...

We propose a new variant of RESET that is appropriate for distributed lag models. Monte Carlo evidence on size and power strongly supports the use of the new variant instead of the traditional RESET.

In this paper, the asymptotic power comparisons of two versions of GMM overidentifying restrictions tests are conducted globally through the concept of approximate slopes. It is found that the GMM overidentifying restrictions test with the consistent mean deviation variance-covariance matrix...

This paper investigates the impact of domestic gold price on stock price indices in India. In other words, the aim of this paper is to examine the long-term relationships among the gold price and stock market in India. The domestic gold price in India is continuously increasing due to its heavy...

This paper explores the link between industry concentration, which is a feature of the product markets in which firms operate, and the risk of a firm's cash flows, offering the first empirical evidence of the risky cash-flow implications of industry market structure. Our analysis shows that on...

Theoretical constraints on economic model parameters often are in the form of inequality restrictions. For example, many theoretical results are in the form of monotonicity or nonnegativity restrictions. Inequality constraints can truncate sampling distributions of parameter estimators, so that...

We propose to estimate heteroskedastic dynamic factor models using the Kalman filter, where the state vector is augmented with the heteroskedastic disturbances. Although this model is not conditionally Gaussian, Monte Carlo results show that parameters can be accurately estimated.

This paper provides an estimation method for a two way error component regression model where the time-varying disturbances are serially correlated, following a special AR (4) process for quarterly data. The variance-covariance matrix of the compound error terms and its spectral decomposition...

This paper used Monte Carlo simulations to analyze the small sample properties of cross-sectionally augmented panel unit root test (CIPS test). We considered situations involving two types of time-series heteroskedasticity (unconditional and ARCH) in the unobserved common factor and...