The contribution of generalized method of moments (Hansen and Singleton, 1982) was to allow frequentist inference regarding the parameters of a nonlinear structural model without having to solve the model. Provided there were no latent variables. The contribution of this paper is the same. With...

This paper estimates bond-by-bond "haircuts"-realized investor losses-in recent debt restructurings in Russia, Ukraine, Pakistan, Ecuador, Argentina, and Uruguay. We consider both external and domestic retructurings. Haircuts are computed as the percentage difference between the present values...

Output gap is defined as the difference between the potential output and actual output. There are several approaches used in the literature to estimate output gap. With this study it is aimed to obtain alternative output gap estimations for Turkish Economy, considering the constraints of...

This paper considers structural models when both I(1) and I(0) variables are present. It is necessary to extend the traditional classification of shocks as permanent and transitory, and we do this by introducing a mixed shock. The extra shocks coming from introducing I(0) variables into a system...

This paper examines the modelling complications that appear when some macroeconomic behavioral relationships interact with structural variables, even under a given A matrix. The main problem is concretized for the situation when, a) the final consumption, gross fixed capital formation, inventory...

The paper focuses on establishing causation in regression analysis in observational settings. Simple static regression analysis cannot establish causality in the absence of a priori theory on possible causal mechanisms or controlled and randomized experiments. However, two regression based...

In this paper we establish the consistency of the model selection criterion based on the quasi-marginal likelihood obtained from Laplace-type estimators (LTE). We consider cases in which parameters are strongly identified, weakly identified and partially identified. Our Monte Carlo results...

There is a growing consensus that part of the surge in government bond spreads during the EMU debt crisis can be explained by wake-up-call contagion. Evidence on pure contagion however is very mixed and there are no insights into the dynamics of these effects. As a contribution to fill this gap,...

This paper examines the modelling complications that appear when some macroeconomic behavioral relationships interact with structural variables, even under a given A matrix. The main problem is related to the situation when: a) the final consumption, gross fixed capital formation, inventory...