We test for the presence of long memory in daily stock returns and their squares using a robust semiparametric procedure. Spurious results can be produced by nonstationarity and aggregation.

Most hypotheses in binary response models are composite. The null hypothesis is usually that one or more slope coefficients are zero. Typically, the sequence of alternatives of interest is one in which the slope coefficients are increasing in absolute value. In this papar, we prove that the...

The optimal minimum distance (OMD) estimator for models of covariance structure is asymptotically efficient but has much worse finite-sample properties than does the equally-weighted minimum distance (EWMD) estimator. This paper shows how the bootstrap can be used to improve the finite-sample...

This paper makes two contributions to the literature on equilibrium search models. We cast the problem of determining the number of productivity types into a search for modes of the wage distribution and we use recent techniques of mode hunting to estimate the number and location of these modes.

The smoothed maximum score estimator of the coefficient vector of a binary response model is consistent and asymptotically normal under weak distributional assumptions. However, the differences between the true and nominal levels of tests based on smoothed maximum score estimates can be very...

There has been growing debate about whether bilateral trade agreements are damaging multilateral efforts to eliminate barriers to international trade. This paper develops a model in which trading blocks always charge optimal tariffs and make trade agreements based on strategic considerations.

We consider a random matching model without monetary exchange where agents have complete access to each others' histories. Exchange is motivated by risk sharing given random unobservable incomes. The key feature of this environment is that information is mobile across locations even while goods...

This paper designs and implements a Bayesian dynamic latent factor model for a vector of data describing the Iowa economy.