This paper develops a rigorous econometric framework to investigate the structure of codependence between random variables and to test whether it changes over time. Our approach is based on the computation - over both a test and a benchmark period - of the conditional probability that a random...

This paper shows how the problem of mean-downside risk portfolio allocation can be cast in terms of penalized least squares (PLS). The penalty is given by a power function of the returns below a certain threshold. We derive the asymptotic properties of the PLS estimator, allowing for possible...

We test whether the Nelson and Siegel (1987) yield curve model is arbitrage-free in a statistical sense. Theoretically, the Nelson-Siegel model does not ensure the absence of arbitrage opportunities, as shown by Bjork and Christensen (1999). Still, central banks and public wealth managers rely...

Positive response density estimation from CV interval data affords efficiency gains which must be weighed against the risk of introducing potential bias during questions iteration. This study examines the effect of eliciting a third response on a set of often-used welfare measures derived in a...

This paper reports the results from a contingent valuation study designed to investigate the influence of warm glow in willingness-to-pay responses. Interindividual differences in warm glow motivation are measured through a factor analysis, performed on a list of attitudinal items. The reported...

New macro empirical evidence is provided to assess the relative importance of object and idea gaps in explaining the world income distribution dynamics over a benchmark period 1960-1985. Results are then extended through 1995. Formal statistical hypothesis tests allow us to discriminate between...

Applying a method suggested by Woodruff (1971), we derive the sampling variances of Generalized Entropy and Atkinson inequality indices when estimated from complex survey data. It turns out that this method also greatly simpli?es the calculations for the i.i.d. case when compared to previous...

This paper investigates the method of matching regarding two crucial implementation choices, the distance measure and the type of algorithm.We implement optimal full matching – a fully efficient algorithm – and present a framework for statistical inference. The implementation uses data from...

H. Theil has made important contributions to the analysis of simultaneous-equations models. This paper gives an exposition of some closely related recent developments in microeconometrics, with a focus on efforts to develop robust methods for dynamic policy evaluation. We set the stage with a...

Often, a treatment and the outcome of interest are characterized by the moment they occur, and these moments are realizations of stochastic processes with dependent unobserved determinants. We develop a simple and intuitive method for inference on the treatment effect. The method can be...