In most democracies, at least two out of any three individuals vote for the same party in sequential elections. Here I show that stands on the issues, candidates' attributes and individuals' demographics do not account for all of the persistence over time in voting decisions. I present a new...

Modelling strategies for value-added multilevel models are examined. These types of models typically include an endogenous variable and this causes difficulties for the standard estimation techniques that are commonly used to analyse multilevel models. Two alternative estimation strategies are...

This paper develops procedures for the estimation of a common localizing parameter using panel data. Pooling information across individuals in a panel aids the identification and estimation of the localising parameter and leads to consistent estimation in somple panel models. However, in the...

The presence of nuisance parameters causes unexpected complications in econometric inference problems. A number of modified likelihood and message length functions have been developed for better handling of nuisance parameters but all of them are not equally efficient. In this paper, we...

Hodrick-Prescott (HP) Filter of (most often, seasonally adjusted) quaterly series is analysed. Some of the criticism to the filter are adressed. It is seen that, while filtering strongly affects autocorrelations, it has little effect on crosscorrelations. It is argued that the criticism that HP...

In this paper we show how the assumption that higher moments do not depend on the regressors can be exploited in a GMM framework, and we provide very simple estimators that are equivalent to GMM estimators. These simple estimators can be calculated by linear regressions which have been augmented...

The paper is concerned with the estimation of the long memory parameter in a conditionally heteroskedastic model proposed by Giraitis, Robinson and Surgailis (1999). We consider methods based on the partial sums of the squared observations which are similar in spirit to the classicla R/S...

This paper presents a Gaussian reduced-form default risk model. The riskless rate follows a two-dimensional ARMA process. The mean-reverting default spread features a ratio involving the market value of the firm's assets. Under recurrent credit risk, bond prices are analytically derived. Using...

Five decades ago, Bhattacharyya established a series of lower bounds for the variance of an unbiased estimator, since then called the Bhattacharyya bounds. In 1974 Blight and Rao have shown that the series of Bhattacharyya bounds converges to the variance of the best unbiased estimator. In this...

In this paper we apply the statistical framework recently proposed by Imbens (1999) and Lechner (1999) to identify the causal effects of multiple treatments under the conditional independence assumption. We show that under this assumption, matching with respect to the ratio of the scores allows...