In first place, I can easily imagine that the inflation rate is the daily bread for financials. In second place, I am positively sure that the routinely compilation of the consumer price index (CPI) done by any statistical agency constitutes “a tour the force”. In third place, I am convinced...

The article presents the application of a linear regression model to the problem of space-time disaggregation of the GDP of the Polish economy. In the approach described, the structural parameters of linear regression are subject to estimation, where the annual GDP of voivodships (regions of...

Price indices for heterogenous goods such as real estate or fine art constitute crucial information for institutional or private investors considering alternative investments in times of financial markets turmoil. Classical mean-variance analysis of alternative investments has been hampered by...

For a panel data regression equation with two-way unobserved heterogeneity, individual-specific and period-specific, ‘within-individual’ and ‘within-period’ estimators, which can be given Ordinary Least Squares (OLS) or Instrumental Variables (IV) interpretations, are considered. A class...

We assess the role of measurement error in minimum wage evaluations when the treatment variable - the bite - is inferred from a survey wage distribution. We conduct Monte Carlo experiments on both simulated and empirical distributions of measurement error derived from a record linkage of survey...

Unit roots in output, an exponential 2% rate of convergence and no change in the underlying dynamics of output seem to be three stylized facts that cannot go together. This paper extends the Solow-Swan growth model allowing for cross-sectional heterogeneity. In this framework, aggregate shocks...

Unit root in output, an exponential 2% rate of convergence and no change in the underlying dynamics of output seem to be three stylized facts that cannot go together. This paper extends the Solow-Swan growth model allowing for cross-sectional heterogeneity. We show both theoretically, with an...

In this paper we propose a two-step semiparametric procedure to estimate first-price auction models. In the first-step, we estimate the bid density and distribution using local polynomial method, and recover a sample of (pseudo) private values. In the second-step, we apply the method of moments...

We present a non-parametric method to estimate the discount curve from market quotes based on the Moore-Penrose pseudoinverse. The discount curve reproduces the market quotes perfectly, has maximal smoothness, and is given in closed-form. The method is easy to implement and requires only basic...

In this paper, we develop a new nonparametric approach for estimating the risk-neutral density of asset price and reformulate its estimation into a double-constrained optimization problem. We implement our approach in R and evaluate it using the S&P 500 market option prices from 1996 to 2015. A...