This paper addresses whether and to what extent econometric methods used in experimental studies can be adapted and applied to financial data to detect the best-fitting preference model. To address the research question, we implement a frequently used nonlinear probit model in the style of Hey...

This methodological paper reviews different spectral techniques well suitable to the analysis of economic time series. While econometric time series analysis is generally yielded in the time domain, these techniques propose a complementary approach based on the frequency domain. Spectral...

We consider the estimation of sample selection (type II Tobit) models that exhibit spatial error dependence or spatial autoregressive errors (SAE). The method considered is motivated by a two-step strategy analogous to the popular heckit model. The first step of estimation is based on a spatial...

The Hodrick-Prescott filter is a convenient and therefore widely and routinely applied detrending method in macroeconomics working with empirical data. However, James Hamilton has recently gained attention with his vigorous advice against it and a proposal of a better alternative. Before...

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 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...

The authors address the issue of estimation and inference in dependent non-stationary panels of small cross-section dimensions. The main conclusion is that the best results are obtained applying bootstrap inference to single-equation estimators, such as fully modified ordinary least squares and...

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...

Panel data of our interest consist of a moderate number of panels, while the panels contain a small number of observations. An estimator of common breaks in panel means without a boundary issue for this kind of scenario is proposed. In particular, the novel estimator is able to detect a common...