Graph-theoretic methods of causal search based in the ideas of Pearl (2000), Spirtes, Glymour, and Scheines (2000), and others have been applied by a number of researchers to economic data, particularly by Swanson and Granger (1997) to the problem of finding a data-based contemporaneous causal...

In this paper we develop a structural equation model with latent variables in an ordinal setting which allows us to test broker-dealer predictive ability of financial market movements. We use a multivariate logit model in a latent factor framework, develop a tractable estimator based on a...

The traditional causality relationship proposed by Granger (1969) assumes the relationships between variables are short range dependent with the same integrated order. Chen (2006) proposed a bi-variate model which can catch the long-range dependent among the two variables and the series do not...

Two econometric issues arise in the estimation of complete systems of producer or consumer demands when many non-negativity constraints are binding for a large share of observations, as frequently occurs with micro-level data. The first is computational. The econometric model is essentially an...

In this paper, we consider a simultaneous equations model under a functional coefficient representation for the structural equation of interest and adopt the local-to-zero assumptions as in Staiger and Stock (1997) and Hahn and Kuersteiner (2002) on the coefficients of the instruments in the...

We study a new class of semiparametric instrumental variables models with the structural function represented by a partially varying coefficient functional form. Under this representation, the models are linear in the endogenous/exogenous components with unknown constant or functional...

Having efficient and accurate samplers for simulating the posterior distribution is crucial for Bayesian analysis. We develop a generic posterior simulator called the "dynamic striated Metropolis-Hastings (DSMH)" sampler. Grounded in the Metropolis-Hastings algorithm, it draws its strengths from...

We present a model, in which a small industrialised economy outsources part of its production into a small foreign country which is well endowed with low-skilled labour. We analyse under which conditions sinking trade costs stimulate outsourcing activities, thereby increasing the wage dispersion...

Consistent with predictions from the literature, we find that higher levels of in-migration dilute multiple dimensions of a community's level of social capital. The analysis employs a 2SLS methodology to account for potential endogeneity of migration.

We study the cost of breaching an implicit contract in a goods market, building on a recent study that documented the presence of such a contract in the Coca-Cola market, in the US, during 1886-1959. The implicit contract promised a serving of Coca-Cola of a constant quality (the "real thing"),...