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...

In this paper, we build on Ryan and Wales (1998), Moschini (1999), and Serletis and Shahmoradi (2007) and impose curvature conditions locally on the quadratic Almost Ideal Demand System (AIDS) model of Banks et al. (1997), an extension of the simple AIDS model of Deaton and Muellbauer (1980)...

Recently, there has been increasing interest in model averaging within frequentist paradigm. In the existing literature, for proving consistency of model averaging estimators, local mis-specification is assumed. In this paper, we show that under general fixed parameter setup, the model averaging...

We propose a test for the evaluation of statistical acceptability of a functional constraint which is imposed on parameters in the mixed data sampling regressions. The asymptotic behavior of the test statistic is characterized and a few other extensions are discussed.

In the aftermath of the financial crisis, this study investigates which underlying determinants cause bank rating transitions. We develop survival analysis models to explain credit transition hazards using macroeconomic factors and the rating history. We find that there exists a significant...

In this note, we argue that tests of overidentifying restrictions give little information on the validity of the moment conditions implied by the underlying economic model, and therefore are mute about the possibility of identifying the parameters of interest.

We study the effects of economic shocks on civil conflict at the subnational level using a panel dataset of 5689 administrative regions from 53 African countries with yearly observations from 1992 to 2010. We find that economic shocks, measured by nighttime light intensity and instrumented by...

This paper seeks to shed light on possible changes in the government debt dynamics for the first 12 euro area countries. Structural breaks are present around the global financial crisis for most countries, but not for Germany and France, the two core countries in the euro area. The properties of...

I provide the nonparametric identification of nonlinear dynamic panel data models. I relax the assumption of covariate evolution in Shiu and Hu (2013) by the results of Hu and Shum (2012). The assumptions include first-order Markov assumptions and a restriction on the evolution of the covariate.

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)...