This paper suggests the use of simple minimum distance methods to estimate restricted cointegrating vectors. The method directly employs minimum distance methods on unrestricted cointegrating matrices estimated in the usual way to estimate restricted parameters which are linearly or nonlinearly...

Fixed effects estimators in nonlinear panel models with fixed and short time series length T usually suffer from inconsistency because of the incidental parameters problem first noted by Neyman and Scott (1948). Moreover, even if T grows but at a rate not faster than the cross sectional sample...

Add a stage of signal acquisition to a canonical model of portfolio choice.Under fully revealing asset price, investors' information demand reflects their choice of transparency. In reducing uncertainty, financial transparency raises expected asset price and thus benefits holders of the risky...

This paper introduces a new type of nonlinear model, the min-max model, and analyzes the properties for a pair of series. Stability conditions of this system are given for the nonlinearly integrated bivariate series. Under these stability conditions, the difference of the two series has a...

This paper attempts to understand the forces that have lead to persistent racial wage inequality by developing a dynamic model of statistical discrimination that accounts for the transmission of earnings across generations. The parameters of this model are then estimated using data from the 1970...

This is the speech that Professor Granger gave at Nobel Prize Awards 2004

Recent empirical work has studied point processes of transactions in financial markets and observed clear time dependent patterns in these arrival times. However these studies do not examine the timing of quoted price changes. This paper formulates a bivariate point process to jointly analyze...

While economists have long been interested in effects of health and human capital on productivity, less attention has been paid to the influence of time use. We investigate the productivity effects of the single largest use of time--sleep. Because sleep influences performance on memory...

This study examines evidence of structural breaks in models of predictable components in stock returns related to state variables such as the lagged dividend yield, Treasury bill rate, term spread and default premium. We examine a large set of size-and-industry-sorted profolios of US stocks as...

The paper studies whether immigration affects the probability of high school graduation of American-born minorities. Since both the costs and the benefits of education are likely to rise due to immigration, the direction of the impact is ambiguous. The paper uses pooled 1980 and 1990 Census data...