Previous empirical evidence indicates that uncovered interest rate parity (UIP) does not hold for target zone exchange rates, like those in the European Monetary System and in the Nordic countries. We explore a target zone model where the market inferes the probability of a realignment of the...

Propensity score matching estimators have two advantages. One is that they overcome the curse of dimensionality of covariate matching, and the other is that they are nonparametric. However, the propensity score is usually unknown and needs to be estimated. If we estimate it nonparametrically, we...

Gravity type models are widely used in international economics. In these models the inclusion of time-fi0xed regressors like geographical or cultural distance, language and institutional (dummy) variables is often of vital importance e.g. to analyse the impact of trade costs on...

Operational risk management remains a major concern for financial institutions. Indeed, institutions are bound to manage their own funds to hedge this risk. In this paper, we propose an approach to allocate one's own funds based on a combination of historical data and expert opinion using the...

Ng and Perron (2001) designed a unit root test, which incorporates the properties of DF-GLS and Phillips Perron test. Ng and Perron claim that the test performs exceptionally well especially in the presence of a negative moving average. However, the performance of the test depends heavily on the...

We compute a stochastic household forecast for the Netherlands by the random share method. Time series of shares of persons in nine household positions, broken down by sex and five-year age group for the years 1996-2010 are modelled by means of the Hyndman-Booth-Yasmeen product-ratio variant of...

This study uses Monte Carlo analysis to investigate the performances of five different meta-analysis (MA) estimators: the Fixed Effects (FE) estimator, the Weighted Least Squares (WLS) estimator, the Random Effects (RE) estimator, the Precision Effect Test (PET) estimator, and the Precision...

In studying the asymptotic and finite sample properties of quasi-maximum likelihood (QML) estimators for the spatial linear regression models, much attention has been paid to the spatial lag dependence (SLD) model; little has been given to its companion, the spatial error dependence (SED) model....

We show how it is possible to generate multivariate data which have moments arbitrary close to the desired ones. They are generated as linear combinations of variables with known theoretical moments. It is shown how to derive the weights of the linear combinations in both the univariate and the...

Since the introduction of bootstrap DEA there is a growing literature on applications which use this method, mainly for hypothesis testing. It is therefore important to establish the consistency and evaluate the performance of bootstrap DEA. The few Monte Carlo experiments in the literature...