In this article, estimation of moments up to the fourth order of random effects and errors is first investigated for dynamic panel data models. Using the QR decomposition of a matrix, the moments of random individual effects and errors are estimated without affecting each other so that the...

We propose the use of a variant of the epidemiological SIR model to accurately describe the diffusion of online content over the online social network Digg.com. We examine the qualitative properties of our viral information propagation model, demonstrate the model’s applications to social...

This paper proposes two Hausman-type tests respectively for individual and time effects in a two-way error component regression model by comparing estimators of the variance of the idiosyncratic error at different robust levels. They are both robust to the presence of the other effect, and the...

The analogue of Black–Scholes formula for vanilla call option price in conditions of (B,S)-securities market with delayed response is derived. A special case of continuous-time version of GARCH is considered. The results are compared with the results of Black and Scholes.

The Gini coefficient has been widely used to measure the performance of rare event targeting models. Although it is a good performance measure when the scores and hits are proportionally associated, it fails to address the possible non-linear distribution of targeting scores and neglects the...

In this paper, we test the existence of serial correlation and random effects in a two-way error component regression model with panel data. Under moment conditions alone, we suggest several easily implemented tests based on the parameter estimators for artificial autoregressions modeled by the...

In this paper, several tests are suggested for the existence of individual and time effects in panel data models with interactive effects. Their asymptotic properties are obtained under some mild conditions. Monte Carlo simulation is carried out for illustration.