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.

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...

This paper investigates the Estimating Function method in the context of ACD modelling and appraises the properties of these estimates. A simulation study is conducted to demonstrate that these estimates are more efficient than the corresponding ML and QML estimates.

We study the identification of a mixed proportional hazard model with lagged duration dependence when data provide multiple outcomes per stratum. Within strata variation is exploited to non-parametrically identify lagged duration dependence in more general models than in the literature.

This note shows that the asymptotic variance of Chen’s [Chen, S., 2002. Rank estimation of transformation models. Econometrica 70 (4) 1683–1697] two-step estimator of the link function in a linear transformation model depends on the first-step estimator of the index coefficients.

Under multiplicative separability of the cost function, this paper investigates the identification of the procurement model. Moreover, we characterize the model restrictions on observables and show its observational equivalence to one where the function of private information is the identity.

This paper considers a generalized panel data model of polychotomous and/or sequential switching which can also accommodate the dependence between unobserved effects and covariates in the model. We showcase our model using an empirical illustration in which we estimate scope economies for the...

We study the relationship between bank competition and stability for 145 countries over the period 1997–2010. We use three measures of bank competition, namely the Boone indicator, the Lerner and the adjusted Lerner indices, and two econometric methods. Our results show that bank competition...

We extend the fixed effects maximum likelihood estimator to a proportional hazard model with a flexibly parametric baseline hazard. We use the method to estimate a job duration model for young men, and show that failure to account for unobserved fixed effects causes negative schooling and union...