The empirical finance literature makes extensive use of 'monthly' stock returns, where a monthly return is the change in stock price between one particular day of the calendar month - which we term the reference day - and the corresponding day of the following month. We show that estimates of...

The system GMM estimator for dynamic panel data models combines moment conditions for the model in first differences with moment conditions for the model in levels. It has been shown to improve on the GMM estimator in the first differenced model in terms of bias and root mean squared error....

A political regime has budgetary separation of powers if the power with the prerogative to raise taxes is not the full residual claimant of a tax increase. In the American states two conditions are needed: the governor must have the line item veto, and the political interests of the legislative...

Data from a range of different environments indicate that the incidence of death is not randomly distributed across families but, rather, that there is a clustering of death amongst siblings. A natural explanation of this would be that there are (observed or unobserved) differences across...

The Vote Production Function (VPF) has a party's vote depending on (a) its potential vote and (b) the party organization which actualizes it - 'political capital'. Empirical work suggests that moving to the centre would increase your vote if only you could hold political capital constant. The...

We consider a principal-agent model of adverse selection where, in order to trade with the principal, the agent must undertake a relationship-specific investment which affects his outside option to trade, i.e. the payoff that he can obtain by trading with an alternative principal. This creates a...

For a multivariate time series model with structural breaks, explicit representations of the Beveridge-Nelson and Granger-Gonzalo-Proietti permanent trends are derived from the Johansen maximum likelihood estimates.

A dynamic panel data model of neonatal mortality and birth spacing is analyzed, accounting for causal effects of birth spacing on subsequent mortality and of mortality on the next birth interval, while controlling for unobserved heterogeneity in mortality (frailty) and birth spacing (fecundity)....

The remarkable economic success of the United States in the 1990s led many observers to talk about a "New Economy". This paper provides an overview of the main issues, including faster productivity growth, the stability of inflation despite very low unemployment, the reduction in output...

This chapter gives an account of the recent literature on estimating models for panel count data. Specifically, the treatment of unobserved individual heterogeneity that is correlated with the explanatory variables and the presence of explanatory variables that are not strictly exogenous are...