The diagonal GARCH(1,1) model is shown to support identification of the triangular system and is argued as a higher moment analog to traditional exclusion restrictions. Estimators for this result include QML and GMM. For the GMM estimator, only partial parameterization of the conditional...

Control Charts are the main tools of Statistical Process Control. They are used for deciding whether a process is statistically stable or not. Much theory and many applications have been developed for the Gaussian (Normal) distribution in this area. However, in real data sets we usually face up...

Using firm-level panel data collected in Vietnam bi-annually from 2005 to 2013, this paper examines whether innovation is persistent among small firms in Vietnam. The empirical results obtained from dynamic random effect probit and dynamic random effect ordered probit show that the innovation...

Swarna Jayanti Gram Swarojgar Yojona (SGSY), a government sponsored micro credit programme of India, has been designed to ameliorate income poverty among the rural poor, particularly women, through human capital development and strengthening female agency. In this backdrop the basic objectives...

We consider the problem of estimating and decomposing wage differentials in the presence of unobserved worker, firm, and match heterogeneity. Controlling for these unobservables corrects omitted variable bias in previous studies. It also allows us to measure the contribution of unmeasured...

We examine the dissent voting record of the Bank of England Monetary Policy Committee (MPC) in its first decade. Probit estimates indicate the impact of career experience on dissent voting is negligible, whereas the impact of forecast inflation is pronounced. In addition to finding a role for...

The research estimates a competing risk model of mortgage terminations on a sample of UK securitized subprime mortgages. We consider whether the variety of mortgage contracts that were securitized explains the performance of subprime securities and their supposed ‘idiosyncratic’ behaviour....

This paper addresses the issue of unobserved heterogeneity in film characteristics influence on box-office. We argue that the analysis of pooled samples, most common among researchers, does not shed light on underlying segmentations and leads to significantly different estimates obtained by...

Empirically studying dynamic competition in oligopoly markets requires dealing with large states spaces and tackling difficult computational problems, while handling heterogeneity and multiple equilibria. In this paper, we discuss some of the ways recent work in Industrial Organization has dealt...