A simple example is provided that shows that one test can strictly dominate another test in both local power and its robustness to asymptotic size distortion under local model misspecification, with both tests having asymptotic size equal to nominal size under correct model specification....

In this paper, several tests are suggested for the existence of individual and time effects in panel data models with interactive effects. Their asymptotic properties are obtained under some mild conditions. Monte Carlo simulation is carried out for illustration.

Amid its rapidly increasing usage and immense public interest the subject of Bitcoin has raised profound economic and societal issues. In this paper we undertake economic and econometric modelling of Bitcoin prices. As with many asset classes we show that Bitcoin exhibits speculative bubbles....

This note describes how the Kalman filter and the Kalman smoother can be modified to allow for the vector of observables to be a function of lagged state variables without increasing the dimension of the state vector in the filter.

Employing an augmented univariate EGARCH model, we estimate the dynamic impact of information arrival as measured by volume on asymmetric news in the pre and post 2009 global financial crisis in the Athens Stock Exchange (ASE). Our results reveal that trading volume appears to capture a...

Two-step estimation with large panel data sets generally involves estimating vectors of individual-specific coefficients in a first-stage. In a second-stage estimation a vector of estimated coefficients is used as the dependent variable. Potential problems of heteroskedasticity in the second...

This paper proposes a model selection criterion for models defined by a set of moment conditions that are possibly nonsmooth and discontinuous. The model selection criterion is based on an asymptotically unbiased approximation of the Kullback–Leibler Information Criterion (KLIC), using the...

A simple graphical approach to presenting results from nonlinear regression models is described. In the face of multiple covariates, ‘partial mean’ plots may be unattractive. The approach here is portable to a variety of settings and can be tailored to the specific application at hand. A...

The Nelson–Olsen covariance estimator of the simultaneous least squares-probit model is adjusted to accommodate probability based stratified surveys. A simultaneous model of body mass and the propensity to exercise provides an empirical example using stratified survey data.

There have been numerous applications of partial observability bivariate probit models. These models identify determinants of individual discrete outcomes when all that is observed are collective outcomes and individual characteristics. Numerical difficulties with their likelihood functions are...