We present a new procedure for detecting multiple additive outliers in GARCH(1,1) models at unknown dates. The outlier candidates are the observations with the largest standardized residual. First, a likelihood-ratio based test determines the presence and timing of an outlier. Next, a second...

Following the transposition of the EU Energy Performance of Buildings Directive into Irish law, all properties offered for sale or to let in Ireland are obliged to have an energy efficiency rating.  This paper analyses the effect of energy efficiency ratings on the sale and rental prices of...

A common problem in estimation of discrete choice models is that the complete choice set is very large.  A good example is supermarket consumer goods, like breakfast cereal where there are often a hundred or more varieties (SKUs or UPCs) to choose from.  In that case, estimation of complex...

Western governments typically pay out some 30 percent of GDP for social purposes.  This is financed by taxation on a pay-as-you-go (PAYGO) basis.  How efficient are these transfers, and can market or other mechanisms do it better?  The problem arises since no individual stands alone.  During...

In this paper, I explore the reactions of financial amrket participants to news relating to the Kimberley Process Certification Scheme (KPCS), a body that regulates aspects of global diamond production and trade.  I use an event study approach with data on the returns for shares of leading...

Previous analyses of the formation and composition of community based organizations (CBOs) have used cross section data.  So, causal inference has been compromised.  We obviate this problem by using data from a quasi-experiment in which villages were formed by government officials selecting...

Monitoring corruption typically relies on top-down interventions aimed at increasing the probability of external controls and the severity of punishment.  An alternative approach to fighting corruption is to induce bottom-up pressure for reform.  Recent studies have shown that both top-down...

In this paper, we re-examine two important aspects of the dynamics of rel- ative primary commodity prices, namely the secular trend and the short run volatility. To do so, we employ 25 series, some of them starting as far back as 1650 and powerful panel data stationarity tests that allow for...

In many countries, house prices are subject to boom/bust cycles and in some these are linked to severe economic and financial instability.  Overheating can have both a price and a quantity dimension, but it is likely that they are linked by common drivers.  However, much depends on the...

Understanding the workings of whole economies is essential for sound policy advice - but not necessarily for accurate forecasts.  Structural models play a major role at most central banks and many other governmental agencies, yet almost none forecast the financial crisis and ensuing...