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...

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.

Wooldridge (2005) provided a simple and elegant solution to the initial conditions problem for dynamic nonlinear unobserved-effects models. His original auxiliary model includes the time-varying explanatory variables at each period. Unfortunately, a popular constrained version that includes...

We make an extensive simulation analysis in order to investigate the consequences of ignoring the potentially complex and data dependent effects of allocative inefficiency on the estimation of stochastic frontier panel data models. Generally system estimators perform worse than single equation...

We estimate the time-varying average efficiencies of the US banks during 1984–1995 with four different efficiency estimators. Using these four series of efficiency estimates, we make a multivariate Kalman filter analysis to examine the efficiency trend in US banks during this period.

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.

Empirical studies have found that increasing the probability of punishment has a greater effect on crime than the severity of punishment. This note explains this as the result of criminals having imperfect information on their criminal ability. As they commit crimes, they update their estimates...

We consider how parties’ formal contracts are underpinned by their ongoing relationship and how welfare changes as the legal system improves. Regardless of impatience, the parties write formal contracts that they would not honor–despite stipulated penalties–if they interacted only once....

Working with a unique neighborhood homicide dataset from 2008 to 2010, this paper makes two contributions. First, we capture the importance of the spatial dependence on homicide rates within large urban center neighborhoods. Second, we measure the influence of spatial dependence more precisely...

We analyse bonus payments for officials, who transfer payments truthfully to the government rather than collecting bribes. We show that optimised bonus payments are always beneficial to the government, making them a more effective anti-corruption measure than simple wage increases.