We provide numerically reliable analytical expressions for the score of conditionally heteroskedastic dynamic regression models when the conditional distribution is multivariate $t$. We also derive one-sided and 2-sided LM tests for multivariate normality versus multivariate $t$ based on the...

In this paper we study how the Huber estimator can be adapted to the presence of endogeneity in a two stage equations setting similar to that of 2SLS. We propose an estimation procedure that is at the same time relatively (i) simple, (ii) robust and (iii) efficient. Moreover, we deal with the...

We study optimal growth models à la Nelson and Phelps (1966) where labor resources can be allocated either to production, technology adoption or capital maintenance. We first characterize the balanced growth paths of a benchmark model without maintenance. Then we introduce the maintenance...

We analyze the nonlinear behavior of the information content in the spread for future real economic activity. The spread linearly predicts one year ahead real growth in nine industrial production sectors of the US and four of the UK over the last forty years. However, recent investigations on...

We deal with the problem of decomposing a time series into the sum of unobserved components as in detrending or seasonal adjustment. In particular, we analyze the situation in which the decomposition into orthogonal balanced components as performed by the ARIMA-Model-Based method is...

The belief that peers' characteristics influence the behavior and outcomes of students in school has been important in shaping public policy. How peers affect individuals depends on the educational system prevailing. I analyze two different systems: tracking and mixing, and I propose several...

We develop generalised indirect inference procedures that handle equality and inequality constraints on the auxiliary model parameters. We obtain expressions for the optimal weighting matrices, and discuss as examples an MA(1) estimated as AR(1), an AR(1) estimated as MA(1), and a log-normal...

This paper introduces a new methodology to target direct transfers against poverty. Our method is based on observable correlates and on estimation methods that focus on the poor. Using data from Tunisia, we estimate ‘focused’ transfer schemes that improve anti-poverty targeting performances....

The aim of this article is to provide additional evidence on the fulfilment of the Purchasing Power Parity hypothesis in the so-called Mediterranean countries. In order to test for the empirical validity of such hypothesis, we have applied two types of unit root tests. The first group is due to...

In this paper we have introduced and parameterized the concept of ?group cohesion? in a model of local interaction with a population divided into groups. This allows us to control the level of ?isolation? of these groups: We thus analyze if the degree of group cohesion is relevant to achieve an...