Estimation and modelling problems as they arise in many fields often turn out to be intractable by standard numerical methods. One way to deal with such a situation consists in simplifying models and procedures. However, the solutions to these simplified problems might not be satisfying. A...

Hedge funds offer desirable risk-return profiles; but we also find high management fees, lack of transparency and worse, very limited liquidity (they are often closed to new investors and disinvestment fees can be prohibitive). This creates an incentive to replicate the attractive features of...

This paper focuses on finding starting-values for the estimation of Vector STAR models. Based on a Monte Carlo study, different procedures are evaluated. Their performance is assessed with respect to model fit and computational effort. I employ (i) grid search algorithms and (ii) heuristic...

Innovations, be they radical new products or technology improvements are widely recognized as a key factor of economic growth. To identify the factors triggering innovative activities is a main concern for economic theory and empirical analysis. As the number of hypotheses is large, the process...

In econometric modelling the choice of relevant variables is of crucial importance for the Interpretation of the results. In many cases it is based on some a priori knowledge from economic theory and a rather heuristic procedure for determining other influential variables sometimes based on an...

Efficient routines for multidimensional numerical integration are provided by quasi-Monte Carlo methods. These methods are based on evaluating the integrand at a set of representative points of the integration area. A set may be called representative if it shows a low discrepancy. However, in...

Efficient routines for multidimensional numerical integration are provided by quasi-Monte Carlo methods. These methods are based on evaluating the integrand at a set of representative points of the integration area. A set may be called representative if it shows a low discrepancy. However, in...

In econometric modelling the choice of relevant variables is of crucial importance for the Interpretation of the results. In many cases it is based on some a priori knowledge from economic theory and a rather heuristic procedure for determining other influential variables sometimes based on an...