In January, 2005, the EU launched the first international emissions trading system (EU ETS), aimed at reducing carbon emissions in a cost-effective way by means of a market-based instrument. In this paper, we use the treatment/control, before/after design of the natural experiment approach to...

...

The interaction of macroeconomic variables may change as the nominal shortterm interest rates approaches zero. In this paper, we propose an empirical model capturing these changing dynamics with a time-varying parameter vector autoregressive process. State-dependent parameters are determined by...

This paper addresses the estimation of a semiparametric sample selection index model where both the selection rule and the outcome variable are binary. Since the marginal effects are often of primary interest and are difficult to recover in a semiparametric setting, we develop estimators for...

Do all types of demand have the same effect on output? To answer this question, I estimate a cointegrated vector autoregressive (VAR) model of consumption, investment, and government spending on US data, 1955-2007. I find that: (1) economic growth can be decomposed into a short-run (transitory)...

I introduce a technique to estimate parameters in regressions with reduced rank parameters in a general setting. The framework can handle a general class of parameter restrictions and allows for specifications with heteroskedastic and autocorrelated regression errors. Applications of this...

It is well-know that estimation by reduced rank regression is given by the solution to a generalized eigenvalue problem. This paper presents a new proof to establish this result and provides additional insight into the structure of the estimation problem. The proof is a direct algebraic proof...

This paper generalizes the cointegrated vector autoregressive model of Johansen (1988) to allow for structural changes. Estimation under various hypotheses is made possible by a new estimation technique, that makes it simple to derive a number of interesting likelihood ratio tests. E.g., the...

This paper investigates the role of lifestyles (smoking, drinking and obesity) and working conditions (physical hazards, no support from colleagues, job worries and repetitive work) on health. Three alternative systems of simultaneous multivariate probit equations are estimated, one for each...

China monetary policy, as well as its transmission, is yet to be understood by researchers and policymakers. In the spirit of Taylor (1993, 2000), we develop a tractable framework that approximates practical monetary policy of China. The framework, grounded in relevant institutional elements,...