A new methodology is proposed to estimate theoretical prices of financial contin- gent claims whose values are dependent on some other underlying financial assets. In the literature, the preferred choice of estimator is usually maximum likelihood (ML). ML has strong asymptotic justification but...

Some limit theory is developed for estimators suggested in Phillips, Wu and Yu (2009) for dating bubble pheonoma in time series data. The models involve mildly explosive autoregressions and the tests rely on right sided recursive unit root tests. The estimates locate the origination and collapse...

This paper examines how volatility responds to return news in the context of stochastic volatility (SV) using a nonparametric method. The correlation structure in the classical leverage SV model is generalized based on a linear spline. In the new model the correlation between the return...

It is well known that (quasi) MLE of dynamic panel data (DPD) models with short panels depends on the assumptions on the initial values; ignoring them or a wrong treatment of them will result in inconsistency or serious bias. This paper introduces a initial-condition free method for estimating...

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....

In the presence of heteroskedasticity, Lin and Lee (2010) show that the quasi maximum likelihood (QML) estimators of spatial autoregressive models (SAR) can be inconsistent as a ‘necessary’ condition for consistency can be violated, and thus propose robust GMM estimators for the model. In...

The paper proves the following result: every path-connected domain of preferences that admits a strategy-proof, unanimous, tops-only random social choice function satisfying a compromise property, is single-peaked. Conversely, every single-peaked domain admits a random social choice function...

It is essential to understand the consumption pattern of food and how it changes over time to formulate sound economic policies as well as marketing and pricing strategies. In this study, we estimate the Quadratic Almost Ideal Demand System with six rounds of the Family Income Expenditure Survey...

Objective: To find lower and upper bounds of HIV prevalence in Malawi under mild and intuitive assumptions to assess the importance of the refusal issue in the estimation of HIV prevalence. Methods: We derive bounds based on the following two key assumptions: (i) Among those who have never taken...