Using short-run expenditures from household surveys as a proxy may create attenuated estimates of the impact of permanent income on economic outcomes. We use repeated observations to calculate reliability ratios and estimate errors in variables regressions of the impact of income on nutrition....

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...

This article provides a procedure for the estimation of parametric homogeneous stochastic volatility (SV) pricing formulae based on option data. Our estimator has the advantage of being (i) based on option data, (ii) easy to implement in practice, (iii) with clear statistic properties and (iv)...

Collective household models posit that each household member has access to a fraction of the household budget, called a resource share, which defines the shadow budget faced by a household member. Together with the within-household shadow price vector, the shadow budget determines the material...

Using GARCH models for density prediction of stock index returns, a comparison is provided between frequentist and Bayesian estimation. No significant difference is found between qualities of whole density forecasts, whereas the Bayesian approach exhibits significantly better left-tail forecast...

This paper provides a link between the structural approach of econometrics of auctions with the stochastic frontier literature in an effort to model excess bidding behaviour. The new technique is applied to timber auction data. The results suggest that both systematic overbidding and...

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...

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, we study the Jarque–Bera (JB) and cusum tests for the normality of innovations and parameter change in BCTT-GARCH models. In order to demonstrate the validity of JB normality and cusum parameter change tests, we derive their limiting null distributions under mild conditions.

Standard tests are generally not applicable in panel data models with selection. The paper shows how the Hausman specification test and the Sargan–Hansen test for overidentifying restrictions can be generalized to panel data models with unobserved heterogeneity and sample selection.