To capture location shifts in the context of model selection, we propose selecting significant step indicators from a saturating set added to the union of all of the candidate variables. The null retention frequency and approximate non-centrality of a selection test are derived using a...

Models for a continuous risk outcome has a wide application in portfolio risk management and capital allocation. We introduce a family of interval distributions based on variable transformations. Densities for these distributions are provided. Models with a random effect, targeting a continuous...

The UK imports many doctors from abroad, where medical training and experience might be different. This study attempts to understand how drug prescription behaviour differs in English GP practices which have larger or smaller numbers of foreign-trained GPs. Results show that in general practices...

During the last two decades, laboratory experiments have come into increasingprominence and constitute a popular method of research to examine behavioral outcomes and social preferences. However, it has been debated whether results from these experiments can be extrapolated to the real world and...

This paper discusses causal inference techniques for social scientists through the lens of applied microeconomics. We frame causal inference using the standard of the ideal experiment, emphasizing problems of omitted variable bias and reverse causality. We explore how laboratory and field...

In part I the authors first review the formal theory of dynamic optimization; they then present the numerical tools and econometric techniques necessary to evaluate the theoretical models. In language accessible to a reader with a limited background in econometrics, they explain most of the...

This paper focuses on econometrics pedagogy. It demonstrates the importance of including probability weights in regression analysis using data from surveys that do not use simple random samples (SRS). We use concrete, numerical examples and simulation to show how to effectively teach this...

During the last two decades, laboratory experiments have come into increasing prominence and constitute a popular method of research to examine behavioral outcomes and social preferences. However, it has been debated whether results from these experiments can be extrapolated to the real world...

This paper discusses two alternative two-part models for fractional response variables that are defined as ratios of integers. The first two-part model assumes a Binomial distribution and known group size. It nests the one-part fractional response model proposed by Papke and Wooldridge (1996)...

The three most popular univariate conditional volatility models are the generalized autoregressive conditional heteroskedasticity (GARCH) model of Engle (1982) and Bollerslev (1986), the GJR (or threshold GARCH) model of Glosten, Jagannathan and Runkle (1992), and the exponential GARCH (or...