The identification of average causal effects of a treatment in observational studies is typically based either on the unconfoundedness assumption or on the availability of an instrument. When available, instruments may also be used to test for the unconfoundedness assumption (exogeneity of the...

The identification of average causal effects of a treatment in observational studies is typically based either on the unconfoundedness assumption or on the availability of an instrument. When available, instruments may also be used to test for the unconfoundedness assumption (exogeneity of the...

We introduce a framework to test for exogeneity of a variable in a regression based on cross-sectional data. By sorting data with respect to a function (sorting score) of known exogeneous variables it is possible to utilize a battery of tools originally develped to detecting model...

We show that in sorting cross-sectional data, the endogeneity of a variable may be successfully detected by graphically examining the cumulative sum of the recursive residuals. An interesting case arises with a continuous or ordered (e.g., years of schooling) endogenous variable. Then, a...

Estimation in nonlinear time series models has mainly been performed by least squares or maximum likelihood (ML) methods. The paper suggests and studies the performance of generalized method of moments (GMM) and indirect estimators for the autoregressive asymmetric moving average model. Both...

non-linear dynamic models may be characterized and studied, where the degree of stability is defined by the effects of exogenous shocks on the evolution of the observed stochastic system. This type of stability concept is frequently of interest in economics, e.g., in real business cycle theory....

In this paper we briefly review Bayesian and frequentist prediction inference for time series, and then advocate the use of guaranteed-content prediction intervals. These intervals are such that their content (or coverage) is guaranteed with a given high probability. They, thus, are more...

How has the European monetary integration, with the creation of the EMU, affected the stability and volatility of foreign exchange? In order to answer this question, stability and volatility measures are defined and calculated. We then use these to investigate the changes in the stability and...