Interaction effects capture the impact of one explanatory variable x1 on the marginal effect of another explanatory variable x2. To explore interaction effects, socalled interaction terms x1x2 are typically included in estimation specifications. While in linear models the effect of a marginal...

Interaction effects capture the impact of one explanatory variable on the marginal effect of another explanatory variable. To explore interaction effects, so-called interaction terms are typically included in estimation specifications. While in linear models the effect of a marginal change in...

Empirical modeling of dividends has been dominated by Lintner (1956). However, Lintner's model suffers from the logical paradox that if companies have target payout ratios then in the steady state the companies will have reached those target payout ratios. Moreover as demon-strated by Bond and...

This study offers a simultaneous equations model of the birth process with seven endogenous variables: four birth inputs [maternal smoking (S), maternal drinking (D), first trimester prenatal care (PC), and maternal weight gain (WG)], and three birth outputs [gestational age (G), birth length...

Using a unique dataset of art auctions on eBay, we conduct an empirical analysis of the added value of an auction's charity status. The panel structure of our dataset allows us to employ fixed effects techniques to control for observed and unobserved differences across auctions. The existing...

This paper investigates the determinants of survival for French high technology firms that have gone public at the Euronext stock exchange from 1996 through 2004. Conducting survival analyses using logit regressions, Kaplan Meier and Cox methodologies, the current research proves that the...

Transactions bias arises because properties that trade are not a random sample of the total housing stock. Price indices are potentially susceptible to this bias because they are typically based on transactions data. Existing approaches to this problem have relied on Heckman-type correction...

We analyze the relationship between interventions and volatility at daily and intra-daily frequencies for the two major exchange rate markets. Using recent econometric methods to estimate realized volatility, we employ bipower variation to decompose this volatility into a continuously varying...

A drawback of available portfolio credit risk models is that they fail to allow for default risk dependency across loans other than through common risk factors. Thereby, these models ignore that close ties can exist between companies due to legal, financial and business relations. In this paper,...

We review Bayesian inference for dynamic latent variable models using the data augmentation principle. We detail the difficulties of simulating dynamic latent variables in a Gibbs sampler. We propose an alternative specification of the dynamic disequilibrium model which leads to a simple...