In a recent paper Hualde and Robinson (2011) establish consistency and asymptotic normality for conditional sum-of-squares estimators, which are equivalent to conditional quasi-maximum likelihood estimators, in parametric fractional time series models driven by conditionally homoskedastic...

We apply the fractionally cointegrated vector autoregressive (FCVAR) model to analyze the relationship between spot and futures prices in five commodity markets (aluminium, copper, lead, nickel, and zinc). To this end, we first extend the FCVAR model to accommodate deterministic trends in the...

This manual describes the usage of the accompanying freely available Matlab program for estimation and testing in the fractionally cointegrated vector autoregressive (FCVAR) model. This program replaces an earlier Matlab program by Nielsen and Morin (2014), and although the present Matlab...

The cluster robust variance estimator (CRVE) relies on the number of clusters being large. A shorthand "rule of 42'' has emerged, but we show that unbalanced clusters invalidate it. Monte Carlo evidence suggests that rejection frequencies are higher for datasets with 50 clusters proportional to...

In this paper we analyze the influence of observed and unobserved initial values on the bias of the conditional maximum likelihood or conditional sum-of-squares (CSS, or least squares) estimator of the fractional parameter, d, in a nonstationary fractional time series model. The CSS estimator is...

We look at the role of credit ratings when assets are issued in a primary market and sold by dealers into a secondary, over-the-counter market in order to study regulatory proposals for rating agencies. Credit ratings are used to overcome a lemons problem. When the lemons problem is moderate,...

We propose a new methodology for estimating the demand and cost functions of differentiated products models when demand and cost data are available. The method deals with the endogeneity of prices to demand shocks and the endogeneity of outputs to cost shocks, but does not require instruments...

Through tax evasion, through the labour-leisure choice or in other ways, taxpayers reduce the tax base in response to an increase in the tax rate. The process is commonly-believed to generate a humped Laffer curve with a revenue-maximizing tax rate well short of 100%. That need not be so. In the...

The Millennium Development Goals adopted by the Government of Senegal envision that 82% of rural households should have access to drinking water by 2015, as compared to 64% in 2005. On the sanitation side, 59% of rural households should have adequate on-site systems by the same time as compared...

This research examines households’ willingness to pay (WTP) for an improved electricity service. Households’ WTP is estimated using the contingent valuation (CV) method on data from 350 in-person interviews in North Cyprus. In order to avoid the cost of outages, households are willing to...