Data in econometrics are, as a rule, non-experimental and hence we have to use the same data set to select the model and also to estimate the parameters in the selected model.In standard applied econometrics practice, however, one reports zero bias and some variance of the (pretest) estimators...

We consider the problem of estimating the first k coeffcients in a regression equation with k + 1 variables.For this problem with known variance of innovations, the neutral Laplace weighted-average least-squares estimator was introduced in Magnus (2002).We investigate properties of this...

This paper offers an alternative technique to derive the limiting distribution of residual-based statistics or, more general, the limiting distribution of statistics with estimated nuisance parameters.This technique allows us to unify many known results on two-stage estimators and tests and we...

We study the labor supply dynamics of elderly couples by means of a structural collective model.The model allows for general externalities with respect to spouses leisure.Preferences and the intrahousehold bargaining process are identified by using panel data with couples and individuals who...

In empirical studies of sequential auctions of identical objects prices have been found to decline.We study auctions of ancient Chinese porcelain recovered from shipwrecks.In these auctions there are very long sequences of lots of identical objects.We find that the average price decline is...

This paper discusses the joint estimation of the long run equilibrium coe cients and the parameters governing the short run dynamics of a fully parametric cointegrated system formulated in continuous time.The model allows the stationary disturbances to be generated by a stochastic di erential...

If estimates of mean and variance are needed and only experts' opinions are available, the literature agrees that it is wise behaviour to ask only for their (subjective) estimates of quantiles: from these, estimates of the desired parameters are calculated.Quite a number of methods have been...

It is well-known that financial data sets exhibit conditional heteroskedasticity.GARCH type models are often used to model this phenomenon. Since the distribution of the rescaled innovations is generally far from a normal distribution, a semiparametric approach is advisable.Several publications...

This paper is concerned with issues of model specification, identification, and estimation in exchange rate models with unobservable fundamentals.We show that the model estimated by Gardeazabal, Reg´ulez and V´azquez (International Economic Review, 1997) is not identified and demonstrate how...