In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the framework of...

In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the framework of...

In this paper R2-type measures of the explanatory power of multivariate linear and categorical probit models proposed in the literature are reviewed and their deficiencies are discussed. It is argued that a measure of the explanatory power should take into account the components which are...

In 1986 German federal parental leave and benefit policy was expanded in several ways, extending the potential duration of leave from six to ten months and paying child-rearing benefits to all new mothers regardless of their employment status before childbirth. The potential duration has...

The estimation of the effects of treatments endogenous variables representing everything from individual participation in a training program to national participation in a World Bank loan program has occupied much of the theoretical and applied econometric research literatures in recent years....

This paper develops a simple estimator to identify structural shocks in vector autoregressions (VARs) by using a proxy variable that is correlated with the structural shock of interest but uncorrelated with other structural shocks. When the proxy variable is weak, modeled as local to zero, the...