This paper describes a moments estimator for a standard state-space model with coefficients generated by a random walk. A penalized least squares estimation is linked to the GLS (Aitken) estimates of the corresponding linear model with time-invariant parameters. The VC estimates are moments...

The contingency table literature on tests for dependence among discrete multi-category variables is extensive. Existing tests assume, however, that draws are independent, and there are no tests that account for serial dependencies - a problem that is particularly important in economics and...

This papers describes an estimator for a standard state-space model with coefficients generated by a random walk that is statistically superior to the Kalman filter as applied to this particular class of models. Two closely related estimators for the variances are introduced: A maximum...

This paper considers a multivariate t version of the Gaussian dynamic conditional correlation(DCC) model proposed by Engle (2002), and suggests the use of devolatized returnscomputed as returns standardized by realized volatilities rather than by GARCH type volatilityestimates. The t-DCC...

This paper contributes to the literature on specific deterrence by addressing the issue of selecting adolescents into adult and juvenile law systems. In Germany, different from the U.S. and most other countries, turning a critical cutoff age does not cause a sharp discontinuity from juvenile to...

This study estimates a Keynesian simultaneous, dynamic macroeconometric model to investigate the impact of remittances on key macro variables such as consumption, investment, imports and income in Turkey. The estimated impact and dynamic multipliers indicate that impact of remittances on...

We discuss fixed and random effects models in the context of educational research and set out the assumptions behind the two approaches. To illustrate the issues, we analyse the determinants of pupil achievement in primary school, using data from the Avon Longitudinal Study of Parents and...

Researchers in economics and other disciplines are often interested in the causal effect of a binary treatment on outcomes. Econometric methods used to estimate such effects are divided into one of two strands depending on whether they require the conditional independence assumption (i.e.,...

Despite numerous studies on labor supply, the size of elasticities is rarely comparable across countries. In this paper, we suggest the first large-scale international comparison of elasticities, while netting out possible differences due to methods, data selection and the period of...

When agents have present bias, they discount more between now and the next period than between period t ( 1) and t + 1. How fast the future discount rate (evaluated today) decays is an empirical question. We show that the discount function can be non-parametrically identified with contracts that...