This paper introduces a representation of an integrated vectortime series in which the coefficient of multiple correlation computed fromthe long-run covariance matrix of the innovation sequences is a primitiveparameter of the model. Based on this representation, a notion of nearcointegration is...

We propose a novel statistic to test the rank of a matrix. The rank statistic overcomes deficiencies of existing rank statistics, like: a Kronecker covariance matrix for the canonical correlation rank statistic of Anderson [Annals of Mathematical Statistics (1951), 22, 327–351] sensitivity to...

We show that the Anderson-Rubin (AR) statistic is the sum of two independent piv-otal statistics. One statistic is a score statistic that tests location and the other statistictests misspecification. The chi-squared distribution of the location statistic has a degreesof freedom parameter that is...

In the last decade we have seen extensive international research on the extent to which wages of individuals respond to changing local labour market conditions. For many countries and periods, an inverse relationship between wages and unemployment rates has been found. Following Blanchflower and...

The system GMM estimator for dynamic panel data models combines moment conditions for the model in first differences with moment conditions for the model in levels. It has been shown to improve on the GMM estimator in the first differenced model in terms of bias and root mean squared error....

This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the presence of diurnal variance patterns, jumps, leverage effects and microstructure noise. We rely on parametric and nonparametric methods. The estimated spot variance path can be used...

In simple static linear simultaneous equation models the empirical distributions of IV and OLS are examined under alternative sampling schemes and compared with their first-order asymptotic approximations. We demonstrate that the limiting distribution of consistent IV is not affected by...

A growing literature on inference in difference-in-differences (DiD) designs with grouped errors has been pessimistic about obtaining hypothesis tests of the correct size, particularly with few groups. We provide Monte Carlo evidence for three points: (i) it is possible to obtain tests of the...

The demand for certain types of health care services depends on decisions of both the individual and the health care provider. This paper studies the conditions under which it is possible to separately identify the parameters driving the two decision processes using only count data on the total...

The technological and institutional environment influences the way of doing research and the relationships between its participants. Intellectual property is a strategic issue to build the institutional framework of the new technological regime and therefore the dynamics of innovation in...