Earnings differentials between men and women have experienced a stable convergence during the 1980s, following a process started in the late 1970s. However, in the 1990s the convergence has almost stopped. The first objective of the paper is to evaluate if discrimination, defined as explicit...

In this paper we analyse the repeated time series model where the fundamental component follows a ARMA process. In the model, the error variance as well as the number of repetition are allowed to change over time. It is shown that the model is identified. The maximum likelihood estimator is...

In this paper the Burtless and Hausman model is used to estimate water demand in Salatiga, Indonesia. Other statistical models, as OLS and IV, are found to be inappropiate. A topic, which does not seem to appear in previous studies, is the fact that the density function of the loglikelihood can...

In this paper we consider the problem of making inference on a structural parameter in instrumental variables regression when the instruments are only weakly correlated with the endogenous explanatory variables. Adopting a local-to-zero assumption as in Staiger and Stock (1994) on the...

Johansen's reduced rank maximum likelihood (ML) estimator for cointegration parameters in vector error correction models is known to produce occasional extreme outliers. Using a small monetary system and German data we illustrate the practical importance of this problem. We also consider an...

Temperature-based weather derivatives are written on an index which is normally defined to be a nonlinear function of average daily temperatures. Recent empirical work has demonstrated the usefulness of simple time-series models of temperature for estimating the payoffs to these instruments....

Let the kp-variate random vector X be partitioned into k subvectors Xi of dimension p each, and let the covariance matrix [Psi] of X be partitioned analogously into submatrices [Psi]ij. The common principal component (CPC) model for dependent random vectors assumes the existence of an orthogonal...

This paper gives a systematic application of maximum likelihood inference concerning cointegration vectors in non-stationary vector valued autoregressive time series models with Gaussian errors, where the model includes a constant term and seasonal dummies. The hypothesis of cointegration is...

In this article we propose a theoretical model for analyzing capital requirement in agricultural production and define excess capital thereupon. We develop a two-step method that allows endogenous regressors in the maximum likelihood estimation. The two-step procedure is also capably of...

This paper proposes an algorithm to obtain maximum likelihood estimates of structural parameters in discrete games with multiple equilibria. The method combines a genetic algorithm (GA) with a pseudo maximum likelihood (PML) procedure. The GA searches efficiently over the huge space of possible...