Endogeneity is a primary concern when evaluating causal effects using observational panel data. While unit-specific intercepts control for unobserved time-invariant confounders, dependence between (i) regressors (e.g., marketing mix strategy of interests) and the current error term (regressor...

Investors recently are really concerned about the risk aspects associated with the investment in securities. Volatility calculation, therefore, has become an important aspect in the financial markets. For these reasons time series models are greatly used to forecast volatility. One such model is...

In this Perspective, I evaluate a common specification of econometric models of broadband adoption. Specifically, I consider the use of broadband plus dial-up connections, either lagged or contemporaneous, as a measure of market maturity. The variable is a model mispecification in that it...

In this paper, we develop and apply Bayesian inference for an extended Nelson-Siegel (1987) term structure model capturing interest rate risk. The so-called Stochastic Volatility Nelson-Siegel (SVNS) model allows for stochastic volatility in the underlying yield factors. We propose a Markov...

Over the past 15 years there has been remarkable progress in the specification and estimation of dynamic stochastic general equilibrium (DSGE) models. Central banks in developed and emerging market economies have become increasingly interested in their usefulness for policy analysis and...

Over the past 15 years there has been remarkable progress in the specification and estimation of dynamic stochastic general equilibrium (DSGE) models. Central banks in developed and emerging market economies have become increasingly interested in their usefulness for policy analysis and...

This paper studies performance of synthetic ratio estimator and composite estimator, which is a weighted sum of direct and synthetic ratio estimators, under Lahiri–Midzuno (L-M) sampling scheme. Both the estimators under L-M scheme are unbiased and consistent if the assumption of synthetic...

When actuaries face with the problem of pricing an insurance contract that contains different types of coverage, such as a motor insurance or homeowner's insurance policy, they usually assume that types of claim are independent. However, this assumption may not be realistic: several studies have...