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18 results found.

CASEreport

The Social and Economic Value of Wheelchair User Homes

Bert Provan and Laura Lane

People who use wheelchairs can benefit in many ways from living in homes which are designed to meet their needs. They can enjoy a much greater independence and ability to do everyday tasks such as showering, cooking, usi...Read more...

4 September 2023

Social Policies and Distributional Outcomes Research Paper

Physical safety and Security: Policies, spending and outcomes 2015-2020

Kerris Cooper and Nicola Lacey

This paper sets out to evaluate the development of policy in relation to physical safety and security in the period since the Conservative Government took office in 2015. Whilst people’s physical safety and security depe...Read more...

13 August 2019

CASEpaper

Deliberative research as a tool to make value judgements

Tania Burchardt

The ‘deliberative turn’ in democratic theory has generated a wealth of deliberative experiments. The purpose of deliberation as a research technique (as opposed to policymaking or public consultation) is distinctive: to ...Read more...

1 April 2012

Econometrics Paper

Efficient Estimation of a Multivariate Multiplicative Volatility Model

Christian M. Hafner and Oliver Linton

We propose a multivariate generalization of the multiplicative volatility model of Engle and Rangel (2008), which has a nonparametric long run component and a unit multivariate GARCH short run dynamic component. We sugge...Read more...

October 2009

Econometrics Paper

ESTIMATION OF A SEMIPARAMETRIC IGARCH(1,1) MODEL

Woocheol Kim and Oliver Linton

We propose a semiparametric IGARCH model that allows for persistence in variance but also allows for more flexible functional form. We assume that the difference of the squared process is weakly stationary. We propose an...Read more...

October 2009

Econometrics Paper

Pseudo-Maximum Likelihood Estimation of ARCH(8) Models

Peter M Robinson and Paolo Zaffaroni

Strong consistency and asymptotic normality of the Gaussian pseudo-maximum likelihood estimate of the parameters in a wide class of ARCH(8) processes are established. We require the ARCH weights to decay at least hyperbo...Read more...

October 2005

DARP Paper

Hierarchic contracting

Rafael Hortala-Vallve and Miguel Sanchez

We analyze the contracting structure in a moral hazard setting with several agents where output is produced jointly and is the only contractible variable. Since the salary of each agent is a function of all agents effort...Read more...

September 2005

Economics of Industry Paper

Incentives and Invention in Universities

Saul Lach and Mark Schankerman

We show that economic incentives affect the commercial value of inventions generated in universities. Using data for 102 U.S. universities during the period 1991-1999, we find that universities which give higher royalty ...Read more...

March 2004

Econometrics Paper

LARCH, Leverage and Long Memory

Liudas Giraitis, Remigijus Leipus, Peter M Robinson and Donatas Surgailis

We consider the long memory and leverage properties of a model for the conditional variance of an observable stationary sequence, where the conditional variance is the square of an inhomogeneous linear combination of pas...Read more...

October 2003

Econometrics Paper

A Local Instrumental Variable Estimation Method for Generalized Additive Volatility Models

Woocheol Kim and Oliver Linton

We investigate a new separable nonparametric model for time series, which includes many ARCH models and AR models already discussed in the literature. We also propose a new estimation procedure based on a localization of...Read more...

May 2003

Econometrics Paper

Estimating Semiparametric ARCH (8) Models by Kernel Smoothing Methods

Oliver Linton and Enno Mammen

We investigate a class of semiparametric ARCH(8) models that includes as a special case the partially nonparametric (PNP) model introduced by Engle and Ng (1993) and which allows for both flexible dynamics and flexible f...Read more...

May 2003

CASEpaper

Expanding the Domain of Policy-Relevant Scholarship in the Social Sciences

William Julius Wilson

In this paper the author argues that social scientists need to do more to provide policy-relevant research. Rapid technological and economic change raise new issues about how policy should adjust that are not adequately ...Read more...

February 2002

Econometrics Paper

Whittle Estimation of ARCH Models

Liudas Giraitis and Peter M Robinson

For a class of parametric ARCH models, Whittle estimation based on squared observations is shown to be inconsistent and asymptotically normal. Our conditions require the squares to have short memory autocorrelation, by c...Read more...

November 2000

Econometrics Paper

Stationarity and Memory of ARCH Models

Paolo Zaffaroni

Sufficient conditions for strict stationarity of ARCH(8) are established, without imposing covariance stationarity and for any specification of the conditional second moment coefficients. GARCH(p,q) as well as the case o...Read more...

March 2000

Econometrics Paper

Contemporaneous Aggregation of GARCH Processes

Paolo Zaffaroni

We study the impact of large cross-sections of contemporaneous aggregation of GARCH processes and of dynamic GARCH factor models. The results crucially depend on the shape of the cross-sectional distribution of the GARCH...Read more...

January 2000

Theoretical Economics Paper

On the Design of Hierarchies: Coordination Versus Specialization

Oliver Hart and John Moore

We develop a model of hierarchies based on the allocation of authority. A firm's owners have ultimate authority over a firm's decisions, but they have limited time or capacity to exercise this authority. Hence owners mus...Read more...

October 1999

Econometrics Paper

Modelling Nonlinearity and Long Memory in Time Series - (Now published in 'Nonlinear Dynamics and Time Series', C D Cutler and D T Kaplan (eds), Fields Institute Communications, 11 (1997), pp.61-170.)

Peter M Robinson and Paolo Zaffaroni

We discuss models that impart a form of long memory in raw time series xt or instantaneous functions thereof, in particular . on the basis of a linear or nonlinear model. The capacity of linear models for xt to imply lon...Read more...

January 1997

Econometrics Paper

Testing for a Slowly Changing Level with Special Reference to Stochastic Volatility - (Now published in 'Journal of Econometrics', 87 (1998), pp.167-189.)

Andrew C Harvey and Mariane Streibel

A test for the presence of a stationary first-order autoregressive process embedded in white noise is constructed so as to be relatively powerful when the autoregressive parameter is close to one. This is done by setting...Read more...

March 1996