A large number of nonlinear conditional heteroskedastic models have been proposed in the literature. Model selection is crucial to any statistical data analysis. In this article, we investigate whether the most commonly used selection criteria lead to choice of the right specification in a...

As a unified discipline, econometrics is still relatively young and has been transforming and expanding very rapidly over the past few decades. Major advances have taken place in the analysis of cross sectional data by means of semi-parametric and non-parametric techniques. Heterogeneity of...

As a unified discipline, econometrics is still relatively young and has been transforming and expanding very rapidly over the past few decades. Major advances have taken place in the analysis of cross sectional data by means of semi-parametric and non-parametric techniques. Heterogeneity of...

In order to reduce the finite sample bias and improve the rate of convergence, local polynomial estimators have been introduced into the econometric literature to estimate the regression discontinuity model. In this paper, we show that, when the degree of smoothness is known, the local...

We review Hildreth's algorithm for computing the least squares regression subject to inequality constraints and Dykstra's generalization. We provide a geometric proof of convergence and several enhancements to the algorithm and generalize the application of the algorithm from convex cones to...

This paper is a user's guide to a set of Gauss procedures developed at the Bank of Canada for estimating regime-switching models. The procedures can estimate relatively quickly a wide variety of switching models and so should prove useful to the applied researcher. Sample program listings are...

This paper explores two very different models which might account for stock market crashes. A key innovative feature of our paper is that we use the models to show how their implications for stock market crashes may be tested using switching-regression econometrics. We are careful to show that...

This paper presents the econometric model of the Soviet economy that was built at the Osteuropa Institut in Munich. In the core of the model is the adaptive planning equation. Other equations are presented and discussed as well. The model is tested by ex post forcast and then some policy...