Stochastic frontier models are widely used to measure, e.g., technical efficiencies of firms. The classical stochastic frontier model often suffers from the empirical artefact that the residuals of the production function may have a positive skewness, whereas a negative one is expected under the...

In order to overcome the potential loss of information that the transition to the new National Classification of Economic Activities could provoke in EPA series, INE has proposed a methodology to link CNAE 1993 and CNAE 2009 series. The procedure is based on employing a national transition...

We model the mortality behavior of the general population in Mexico using data from 1990 to 2009 and compare it to the mortality assumed in the tables used in Mexico for insured lives. We fi a Lee-Carter model, a Renshaw-Haberman model and an Age-Period-Cohort model. The data used are drawn from...

This paper examines the sample proportions estimates in the presence of univariate missing categorical data. A database about smoking habits (2011 National Addiction Survey of Mexico) was used to create simulated yet realistic datasets at rates 5% and 15% of missingness, each for MCAR, MAR and...

This study looks at the effects of participating in active labour market policy programs for persons with work disabilities. More in detail, it draws attention to the importance of taking into account the timing of when a work disability has been registered for persons attending ALMP programs....

This paper demonstrates that unit root tests can suffer from inflated Type I error rates when data are cointegrated. Results from Monte Carlo simulations show that three commonly used unit root tests - the ADF, Phillips-Perron, and DF-GLS tests - frequently overreject the true null of a unit...

In explaining wage or income by personal attributes (e.g. educational attainment, age, and ethnicity) in a regression model, many researchers choose to use the log of wage or income as the dependent variable and then to estimate the unknown coefficients by some version of the least-squares...

For the Taiwan-born male and female wage earners in America and Canada, this paper attempts to find their wage gaps between the two host countries and to explain the wage gaps by three factors (educational attainment, the age at entering the host country, and the recency of the entry) in the...

We introduce a methodology for dynamic modelling and forecasting of realized covariance matrices based on generalization of the heterogeneous autoregressive model (HAR) for realized volatility. Multivariate extensions of popular HAR framework leave substantial information unmodeled in residuals....

In this work we focus on the application of wavelet-based methods in volatility modeling. We introduce a new, wavelet-based estimator (wavelet Whittle estimator) of a FIEGARCH model, ARCH-family model capturing long-memory and asymmetry in volatility, and study its properties. Based on an...