This note shows that two ways of simulation based bias correction–indirect inference and bootstrap bias correction–are equivalent for two-stage-least-squares, as well as k-class estimators for the standard linear model with endogenous regressors.

Ng (2008) shows how the cross-sectional variance of the observed panel data can be used to construct a simple test for the proportion of non-stationary units. However, in the case with incidental trends the test is distorted. The present note shows how the distortions can be substantially...

In this note we extend the method proposed in Bun and Carree (2006) to the more general PVARX(1) model and show that the iterative procedure is not consistent for fixed T. Subsequently we provide corrected version of the bias correction procedure which is fixed T consistent and robust to both...

This article tests the linearity assumption underlying the popular heterogeneous autoregressive model for realized volatility (HAR-RV). We implement a consistent model specification test that is robust to both distributional and model misspecification. We find that, using a nonparametric HAR-RV...

We estimate currency demand functions conditional on electronic money adoption with household-level survey data from Japan under an Instrumental Quantile Regression framework. Contrary to theoretical predictions, our results suggest that users of electronic money hold more currency than non-users.

In the standard generalized method of moments estimation of dynamic panel data models, the constant term is usually omitted from instrument sets. As a result, adding a constant to the dependent variable affects the estimates for models without full period dummies. Omitting the constant term from...

This paper considers a factor-augmented regression model in the presence of structural change. We propose a two-step procedure to estimate the coefficients of explanatory variables. We show that when the number of units (N) and the number of periods (T) are large and comparable, the proposed...

We estimate the long rate and its volatility within the Svensson framework. The procedure that best extrapolates the longest observable rate and its volatility is a 2-dimensional grid search conditioned on the ridge regression suggested by Annaert et al. (2013).

We complement existing inferential theory for panel factor models by deriving the asymptotics for the first differences of the estimated factors and common components obtained from a non-stationary panel factor model. As an application, we propose an estimator for the long run variance of the...

Missing data is a common problem in economics studies. We propose using Mallows model averaging (MMA) to deal with this problem, which has an important advantage over its competitors in that it asymptotically achieves the lowest possible squared error. A simulation study in comparison with...