Empirical evidence suggests that asset returns correlate more strongly in bear markets than conventional correlation estimates imply. We propose a method for determining complete tail-correlation matrices based on Value-at-Risk (VaR) estimates. We demonstrate how to obtain more effi cient...

Empirical evidence suggests that asset returns correlate more strongly in bear markets than conventional correlation estimates imply. We propose a method for determining complete tail-correlation matrices based on Value-at-Risk (VaR) estimates. We demonstrate how to obtain more efficient...

This paper explores how cross-sectional data can be exploited jointly with longitudinal data, in order to increase estimation efficiency while properly tackling the potential bias due to unobserved individual characteristics. We propose an innovative procedure and we show its implementation by...

Under the classical linear regression model assumptions, fixed effects estimates properly control for time-invariant unobservables and produce unbiased estimates. However, they often rely on limited data variability and present high standard errors. We present an innovative methodology that...

Recent development in production risk analyses has raised questions on the conventional approaches to estimating risk preferences. This study proposes to identify the risk separately from input equations with a seminonparametric estimator. The approach circumvents the issue of arbitrary risk...

In this paper we derive the asymptotic properties of GMM estimators for the spatial dynamic panel data model with fixed effects when n is large, and T can be large, but small relative to n. The GMM estimation methods are designed with the fixed individual and time effects eliminated from the...

This study examines the relationship between trade and the OIC countries’ social developments as measured by the Human Development Index (HDI) using the generalized method of moments (GMM) procedure in a panel data distributed lag model for the years 1980 to 2005, with a five-year increments...