This paper presents results from an econometric analysis of Russian bank defaults during the period 1997–2003, focusing on the extent to which publicly available information from quarterly bank balance sheets is useful in predicting future defaults. Binary choice models are estimated to...

We consider the Breitung (2002, <italic>Journal of Econometrics</italic> 108, 343–363) statistic ξ_null, which provides a nonparametric test of the I(1) hypothesis. If ξ denotes the limit in distribution of ξ_null as <italic>n</italic> → ∞, we prove (Theorem 1) that 0 ≤ ξ ≤ 1/π², a result that holds under any...

The exact moments of x'Ax/x'Bx are obtained, where x is a normally distributed vector with some mean (possibly nonzero) and positive definite covariance matrix, A is symmetric and B positive semi definite. These moments appear as simple integrals which can be evaluated numerically in a...

In this article, we describe the estimation of linear regression models with uncertainty about the choice of the explanatory variables. We introduce the Stata commands bma and wals, which implement, respectively, the exact Bayesian model-averaging estimator and the weighted-average least-squares...

We specify a stochastic economy-climate model, adapting Nordhaus' deterministic economy-climate model by allowing for Weitzman-type stochasticity. We show that, under expected power utility, the model is fragile to heavy-tailed distributional assumptions and we derive necessary and sufficient...