In this paper we investigate the robustness properties of the class of minimum power divergence estimators for grouped data. This class contains the classical maximum likelihood estimators for grouped data. We find that the bias of these estimators due to deviations from the assumed underlying...

Robust automatic selection techniques of the smoothing parameter of a smoothing spline are introduced. They are based on a robust predictive error criterion and can be viewed as robust version of Cp and cross-validation. They lead to smoothing splines which are stable and reliable in terms of...

Aït Sahalia (1996), Stanton (1997) and Jiang (1998) apply nonparametric and semi-parametric estimators to the short term interest rate and find strong nonlinearities in the drift function. In this paper we apply resistant techniques to the estimation of the drift and diffusion function. We show...

La modélisation des processus de production multi-outputs peut se faire soit par une approche axiomatique ensembliste, où l'on décrit les caractéristiques de l'ensemble de production, soit en spécifiant une fonction de distance ou une fonction de production jointe. Dans ce papier, on...

Mundlak (1978) showed that when individual effects are correlated with the explanatory variables in an error component (EC) model, the GLS estimator is given by the within. In this paper we bring out some additional interesting properties of the within estimator in Mundlak’s model and go on to...

Longitudinal models are commonly used for studying data collected on individuals repeatedly through time. While there are now a variety of such models available (Marginal Models, Mixed Effects Models, etc.), far fewer options appear to exist for the closely related issue of variable selection....

This paper uses a dynamic efficiency-wage model to analyze the consequences of immigration for a small country when there is discrimination against immigrants in a dual labor market with unemployment. Discrimination is of the type "equal pay for equal work, but unequal work" which is...