This paper investigates systemic risk in the Dutch financial sector by focusing on extreme returns of the major financial institutions. Our measure of systemic risk is the number of coincidences of extreme returns that cannot be explained by a linear model of constant correlation. By using a...

We propose a simulated maximum likelihood estimator for dynamic models based on non-parametric kernel methods. Our method is designed for models without latent dynamics from which one can simulate observations but cannot obtain a closed-form representation of the likelihood function. Using the...

In applied microeconometric panel data analyses, time-constant random effects and first-order Markov chains are the most prevalent structures to account for intertemporal correlations in limited dependent variable models. An example from health economics shows that the addition of a simple...

Households' choice of the number of leisure trips and the total number of overnight stays is empirically studied using Swedish tourism data. A bivariate hurdle approach separating the participation (to travel and stay the night or not) from the quantity (the number of trips and nights) decision...

We use micro data from the Romanian Labor Force Survey to analyze the effect of the restructuring process on the Romanian labor market. We identify the reallocation mechanisms at work in the Romanian labor market, and we analyze the way personal characteristics influence inviduals' ability to...

We investigate the factors underlying poverty transitions in Nairobi’s slums focusing on whether differences in characteristics make some individuals more prone to enter poverty and persist in, or whether past experience of poverty matters on future poverty situations. Answers to these issues...

This paper examines whether patenting increases the private incentives to innovate in manufacturing. In order to study this issue, we build a model in which the value of an innovation depends both on the type of innovation implemented (product, process) and on the existence or not of a patent...

In this paper, we run a Monte Carlo analysis of the finite-sample performance of an Information Matrix Test put forward by Smith (1985) for bivariate censored models. We use the bivariate probit model and Heckman selection model as examples.;Approximating the finite-sample distribution of this...

Globalisation and demography are the main forces modelling the development of societies at large and of each nation in particular.The paper aims to identify and synthetically present some factors of influence which triggered by the end of the 20th century and the beginning of the 21st century a...

Relatively few published studies apply Heckman’s (1979) sample selection model to the case of a discrete endogenous variable and those are limited to a single outcome equation. However, there are potentially many applications for this model in health, labor and financial economics. To fill in...