Numerous heavy-tailed distributions are used for modeling financial data and in problems related to the modeling of economics processes. These distributions have higher peaks and heavier tails than normal distributions. Moreover, in some situations, we cannot observe complete information about...

This paper considers the problem of testing cross-sectional correlation in large panel data models with serially-correlated errors. It finds that existing tests for cross-sectional correlation encounter size distortions with serial correlation in the errors. To control the size, this paper...

This paper proposes tests for stochastic dominance in mobility based on the empirical likelihood ratio. Two views of mobility are considered, either based on measures of absolute mobility or on transition matrices. First-order and second-order dominance conditions in mobility are first derived,...

The purpose of this paper was to apply the econometric models with qualitative variables in order to analyze two non academic behaviors at the level of the Romanian higher education system: cheating on the exams by copying or by direct or intermediary intervention at the professor

Families of minimax estimators are found for the location parameter of a p-variate (pgt; or = 3) spherically symmetric unimodal(s.s.u.)distribution with respect to general quadratic loss. The estimators of James and Stein, Baranchik, Bock and Strawderman are all considered for this general...

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....

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...

The paper introduces four unbiased probability-simulators which produce continuous (simulated) log-likelihood functions with almost everywhere continuous derivatives. Identification conditions are derived which show that in the presence of intercepts in the latent utilities, then the shocks'...

This paper estimates the stock market and its price dynamics in terms of the multifractional Brownian motion. In our analysis, we use the financial dataset of the Dow Jones Industrial Average (DJI) time series from March 2009 to June 2015. First, we briefly introduce the definitions and...

A factor-augmented vector auto-regressive (FAVAR) model is defined by a VAR equation that captures lead-lag correlations among a set of observed variables X and latent factors F, and a calibration equation that relates another set of observed variables Y with F and X. The latter equation is used...