One of the leading methods of estimating the structural parameters of DSGE mod- els is the VAR-based impulse response matching estimator. The existing asymptotic theory for this estimator does not cover situations in which the number of impulse response parameters exceeds the number of VAR model...

It is well known that in a vector autoregressive (VAR) model Granger non-causality is characterized by a set of restrictions on the VAR coefficients. This characterization has been derived under the assumption of non-singularity of the covariance matrix of the innovations. This note shows that...

This paper sheds new light on the interactions between business cycles and the consumption distribution. We use CEX consumption data and a factor model to characterize the cyclical dynamics of the consumption distribution. We first establish that our approach is able to closely match business...

The method of instrumental variables (IV) and the generalized method of moments (GMM), and their applications to the estimation of errors-in-variables and simultaneous equations models in econometrics, require data on a sufficient number of instrumental variables that are both exogenous and...

This paper focuses on finding starting-values for the estimation of Vector STAR models. Based on a Monte Carlo study, different procedures are evaluated. Their performance is assessed with respect to model fit and computational effort. I employ (i) grid search algorithms and (ii) heuristic...

Low female schooling attainment, early marriage and low age at first birth are major policy concerns in developing countries. This paper jointly estimated the determinants of educational attainment, marriage age and age of first birth among females 12 to 25 years of age in Madagascar, explicitly...

Using a representative sample of children born to unwed parents drawn from the Fragile Families and Child Wellbeing Study, this study investigates whether marriage after childbirth has a causal effect on early child cognitive ability, using a treatment outcome approach to account for the...

In this study, we use panel cointegration methods to investigate the relationship between stock prices and earnings-per-share (EPS). Furthermore, we consider whether stock prices respond to EPS under the different level of growth rate of operating revenue. The empirical result indicated that the...

One of the leading methods of estimating the structural parameters of DSGE mod- els is the VAR-based impulse response matching estimator. The existing asymptotic theory for this estimator does not cover situations in which the number of impulse response parameters exceeds the number of VAR model...

This paper proposes plug-in bandwidth selection for kernel density estimation with discrete data via minimization of mean summed square error. Simulation results show that the plug-in bandwidths perform well, relative to cross-validated bandwidths, in non-uniform designs. We further find that...