This paper extends the Bayesian Model Averaging framework to panel data models where the lagged dependent variable as well as endogenous variables appear as regressors. We propose a Limited Information Bayesian Model Averaging (LIBMA) methodology and then test it using simulated data. Simulation...

The asymptotic distribution of maximum likelihood estimators is derived for a class of exponential generalized autoregressive conditional heteroskedasticity (EGARCH) models. The result carries over to models for duration and realised volatility that use an exponential link function. A key...

In a heterogeneous cohort, the change with age in the force of mortality or some other kind of hazard or intensity of attrition depends on how the hazard changes with age for the individuals in the cohort and on how the composition of the cohort changes due to the loss of those most vulnerable...

Accidents forecast of various nature with sufficient economic damage, maximal loss enhancement, elimination of their consequences is a national wide problem It is an important concern of authorities and all levels management In order to solve this problem we need a forecast system for...

The paper asks how state of the art DSGE models that account for the conditional response of hours following a positive neutral technology shock compare in a marginal likelihood race. To that end we construct and estimate several competing small-scale DSGE models that extend the standard real...

The problem of estimating order-restricted scale parameters of two Gamma distributions is considered under the Pitman closeness criterion. A class of isotonic estimators including the MLE is proposed. Some properties of this class of isotonic estimators is given under the Pitman closeness...

The annual maximum earthquake magnitudes around Taiwan from 1900 to 2009 are presented in this paper. Using the distribution of the AMEM, a probabilistic framework to estimate the recurrence probability of a large-size earthquake is also proposed and an illustration was made in this paper. The...

The paper takes up inference in the stochastic frontier model with gamma distributed inefficiency terms, without restricting the gamma distribution to known integer values of its shape parameter (the Erlang form). The paper shows that Gibbs sampling with data augmentation can be used in a...

Purpose – Longevity risk, that is, the uncertainty of the demographic survival rate, is an important risk for insurance companies and pension funds, which have large, and long-term, exposures to survivorship. The purpose of this paper is to propose a new model to describe this demographic...

A new two-parameter descriptive model for the size distribution of incomes is presented. The Beaman distribution, originally found to describe the relationship between prices and sales volumes of textiles and related products, is shown to fit closely US Census data on individual incomes over the...