The source code of the package tvReg is publicly available for download from the Comprehensive R Archive Network. The five basic functions in this package are the tvLM, tvAR, tvSURE, tvPLM, tvVAR and tvIRF, which cover a large range of semiparametric models with time-varying coefficients....

This paper provides nonparametric identification results for a class of latent utility models with additively separable unobservable heterogeneity. These results apply to existing models of discrete choice, bundles, decisions under uncertainty, and matching. Under an independence assumption,...

Campbell and Shiller average 10 years of real S&P 500 earnings to construct its Cyclically Adjusted P/E ratio, or CAPE, which they then use to forecast its future 10-year returns. In essence, Campbell and Shiller kill two birds with one large stone - they use the 10-year average to reduce noise...

We consider the method of moments estimation of a structural equation in a panel dynamic simultaneous equations model under different sample size combinations of cross-sectional dimension, N, and time series dimension, T. Two types of linear transformation to remove the individual-specific...

Spanish Abstract: En este documento se presenta un análisis de la causalidad entre el crecimiento del producto por trabajador y la inversión en capital físico por trabajador. Mediante la metodología de los modelos de Vectores Autorregresivos (VAR) se desarrolla una evaluación empírica para...

We study the identification and estimation of panel dynamic simultaneous equations models. We show that the presence of time-persistent individual-specific effects does not lead to changes in the identification conditions of traditional Cowles Commission dynamic simultaneous equations models....

This paper analyzes Structural Vector Autoregressions (SVARs) where identification of structural parameters holds locally but not globally. In this case there exists a set of isolated structural parameter points that are observationally equivalent under the imposed restrictions. Although the...

The paper lists salient characteristics of the certainty theory of consumer choice and discusses the import of prominent empirical analyses of the theory. All of them reject the theory's empirical relevance which suggests that the theory is unfit to analyze consumer choice in an uncertain world....

In this paper, we analyse the determinants of gold prices in the Turkish free market using classic linear regression techniques. We modeled the gold price movement using two static models, a simple linear and a polynomial of degree three. We compared two models and concluded that third degree...

This article introduces an estimation method for the conditional joint distribution of bivariate outcomes, based on the distribution regression approach and the factorization method. The proposed method can apply for discrete, continuous or mixed distribution outcomes. It is semiparametric in...