In this paper, we study the statistical properties of heterogeneous agent models with incomplete markets. Using a Bewley-Hugget-Aiyagari model we compute the equilibrium density function of wealth and show how it can be used for likelihood inference. We investigate the identifiability of the...

We study the statistical properties of heterogeneous agent models. Using aBewley-Hugget-Aiyagari model we compute the density function of wealth and in-come and use it for likelihood inference. We study the finite sample properties of themaximum likelihood estimator (MLE) using Monte Carlo...

In this paper we generalize the median regression method in order to make it applicable to systems of regression equations. Given the existence of proper systemwise medians of the errors from different equations, we apply the weighted median regression with the weights obtained from the...

As I document using evidence from a journal data repository that I manage, the datasets used in empirical work are getting larger. When we use very large datasets, it can be dangerous to rely on standard methods for statistical inference. In addition, we need to worry about computational issues....

Analysing causality among oil prices and, in general, among financial and economic variables is of central relevance in applied economics studies. The recent contribution of Lu et al. (2014) proposes a novel test for causality- the DCC-MGARCH Hong test. We show that the critical values of the...

The ordinary least squares (OLS) estimator for spatial autoregressions may be consistent as pointed out by Lee (2002), provided that each spatial unit is influenced aggregately by a significant portion of the total units. This paper presents a unified asymptotic distribution result of the...

The main objective of the study is to formulate a new approach of assessing economic security for industrial enterprises, indicating a different approach from existing ones, to allow for the very specifics of economic activity, and to allow the use of qualitative and quantitative indicators. We...

In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence-generating process (EGP). We claim that EGP variation across...

Results in this paper support evidence of time-varying beta coefficients for five sectors in Kuwait Stock Market. The paper indicates banks, food, and service sectors exhibit relatively wider range of variation compared to industry and real estate sectors. Results of time-varying betas...