By an application of the theory of optimal estimating function, optimal instruments for dynamic models with conditional moment restrictions are derived. The general efficiency bound is provided, along with estimators attaining the bound. It is demonstrated that the optimal estimators are always...

In the present paper we consider a model for stock prices which is a generalization of the model behind the Black- Scholes formula for pricing European call options. We model the log-price as a deterministic linear trend plus a diffusion process with drift zero and with a diffusion coefficient...

Cointegration imposes restrictions on the frequency domain behavior of a time series at the zero-frequency. We derive these restrictions for a multivariate fractionally cointegrated system. In particular, we consider a p-vector time series integrated of order d with r cointegrating relations,...

In this paper, we investigate the responsiveness of the demand for college to changes in student aid arising from a Danish reform. We separately identify the effect of aid from that of other observed and unobserved variables such as parental income. We exploit the combination of a kinked aid...

The private investment response to structural reforms in developing countries is of paramount importance, both for the future economic growth and the survival of the reforms themselves. By employing a sample of countries, recipients of World Bank Structural Adjustment Loans, the present paper...

This paper discusses how international integration affects the need and scope for welfare state activities. The first part reviews the main mechanisms, which have been considered in the literature, namely, tax base mobility, risk and race to the bottom effects in welfare policies. The second...

Acemoglu, Johnson, Robinson, and Yared (2008) demonstrate that estimation of the standard adjustment model with country-fixed and time-fixed effects removes the statistical significance of income as a causal factor of democracy. We argue that their empirical approach must produce insignificant...