Although conceptually pleasing, normal-gamma frontier models lead to difficult estimation problems. It is shown here that unless the sample size reaches several thousands of observations the shape parameter of the gamma density is hard to estimate, and that this carries over to estimates of the...

This paper develops a new computationally attractive procedure for estimating dynamic discrete choice models that is applicable to a wide range of dynamic programming models. The proposed procedure can accommodate unobserved state variables that (i) are neither additively separable nor follow...

I discuss models which allow the local level model, which rationalised exponentially weighted moving averages, to have a time-varying signal/noise ratio.  I call this a martingale component model.  This makes the rate of discounting of data local.  I show how to handle such models...

AMS classifications: 62G10; 62G20; 62G30;

Inability to clearly defend against the criticisms of frequentist methods has turned many a frequentist away from venturing into foundational battlegrounds. Conceding the distorted perspectives drawn from overly literal and radical expositions of what Fisher, Neyman, and Pearson ‘really...