This paper discusses random intercept selection within the context of semiparametric regression models with structured additive predictor (STAR). STAR models can deal simultaneously with nonlinear covariate effects and time trends, unit- or cluster-specific heterogeneity, spatial heterogeneity...

I propose a class of hybrid models to describe and predict the dynamics of a multivariate stationary random vector, e.g. a vector of stock returns. These models combine essential features of the multivariate mixture normal distribution and the conditional correlation models. I describe in detail...

This paper analyzes house price data belonging to three hierarchical levels of spatial units. House selling prices with associated individual attributes (the elementary level-1) are grouped within municipalities (level-2), which form districts (level-3), which are themselves nested in counties...

Regression analyses of cross-country economic growth data are complicated by two main forms of model uncertainty: the uncertainty in selecting explanatory variables and the uncertainty in specifying the functional form of the regression function. Most discussions in the literature address these...

Economic theories are often encoded in equilibrium models that cannot be directly estimated because they lack features that, while inessential to the theoretical mechanism that is central to the specific theory, would be essential to fit the data well. We propose an econometric approach that...