The purpose of this paper is to examine the variance-covariance structure of GARCH models that have been introduced in the literature the last decade, and have been greatly favoured by time series analysts and econometricians. In particular, we analyze the second moments of the sum of GARCH...

In this paper we analyse the higher order asymptotic properties of the empirical likelihood ratio test, by means of the dual likelihood theory. It is shown that when the econometric model is just identified, these tests are accurate to an order o(1/n), and this accuracy can always be improved to...

Job satisfaction may affect the propensity to respond to job satisfaction surveys, so that estimates of average satisfaction and the effects of determinants of satisfaction may be biased. We examine response bias using data from a postal job satisfaction survey of family doctors. We link all the...

This study analyzes the cyclical behaviour of the default rates of Italian bank borrowers over the last two decades. A vector autoregression (VAR) modelling technique is employed to assess the extent to which macroeconomic shocks affect the banking sector (first round effect). The VAR also helps...

This paper uses the unique Taxpayer Compliance Measurement Program (TCMP) micro data to study the equity effects of noncompliance. We access four years of TCMP data, 1979,1982,1985, and 1988. The TCMP data allows us to observe income and taxes before and after a tax audit. In order to generate a...