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Keyword: estimation;

85 results found.

Econometrics Paper

Applications of cross-fit variance estimator for testing model specification, overidentification, and structural parameter hypotheses

Yukitoshi Matsushita, Taisuke Otsu and Keita Sunada

This paper advocates that power improvement based on the cross-fit variance estimator, proposed by Mikusheva and Sun (2022), is generally applicable to other econometric inference problems, where the statistics of intere...Read more...

17 November 2025

Econometrics Paper

Geodesic causal inference

Daisuke Kurisu, Hans-Georg Mueller, Taisuke Otsu and Yidong Zhou

Adjusting for confounding and imbalance when establishing statistical relationships is an increasingly important task, and causal inference methods have emerged as the most popular tool to achieve this. Causal inference ...Read more...

1 July 2024

Econometrics Paper

Estimating density ratio of marginals to joint: Applications to causal inference

Yukitoshi Matsushita, Taisuke Otsu and Keisuke Takahata

In various fields of data science, researchers often face problems of estimating the ratios of two probability densities. Particularly in the context of causal inference, the product of marginals for a treatment variable...Read more...

7 January 2022

Econometrics Paper

Adaptive Inference on Pure Spatial Models

Jungyoon Lee and Peter M Robinson

We consider adaptive tests and estimates which are asymptotically efficient in the presence of unknown, nonparametric, distributional form in pure spatial models. A novel adaptive Lagrange Multiplier testing procedure f...Read more...

26 January 2018

CASEpaper

Spatial microsimulation estimates of household income distributions in London boroughs, 2001 and 2011

Alex Fenton

Spatial microsimulation (SMS) is a range of techniques for estimating the local distribution of a variable – here, household income – by combining social survey microdata with Census or administrative population totals. ...Read more...

14 July 2016

Econometrics Paper

Robust estimation of moment condition models with weakly dependent data

Kirill Evdokimov, Yuichi Kitamura and Taisuke Otsu

This paper considers robust estimation of moment condition models with time series data. Researchers frequently use moment condition models in dynamic econometric analysis. These models are particularly useful when one w...Read more...

5 December 2014

Econometrics Paper

Dynamic Panels with Threshold Effect and Endogeneity

Myung Hwan Seo and Yongcheol Shin

This paper addresses an important and challenging issue as how best to model nonlinear asymmetric dynamics and cross-sectional heterogeneity, simultaneously, in the dynamic threshold panel data framework, in which both t...Read more...

1 September 2014

Econometrics Paper

Series Estimation under Cross-sectional Dependence

Jungyoon Lee and Peter M Robinson

An asymptotic theory is developed for nonparametric and semiparametric series estimation under general cross-sectional dependence and heterogeneity. A uniform rate of consistency, asymptotic normality, and sufficient con...Read more...

25 November 2013

Econometrics Paper

Non-Nested Testing of Spatial Correlation

Miguel A. Delgado and Peter M Robinson

We develop non-nested tests in a general spatial, spatio-temporal or panel data context. The spatial aspect can be interpreted quite generally, in either a geographical sense, or employing notions of economic distance, o...Read more...

25 November 2013

Econometrics Paper

Efficient Inference on Fractionally Integrated Panel Data Models with Fixed Effects

Peter M Robinson and Carlos Velasco

A dynamic panel data model is considered that contains possibly stochastic individual components and a common fractional stochastic time trend. We propose four different ways of coping with the individual effects so as t...Read more...

20 November 2013

Econometrics Paper

Extremum Sieve Estimation in k-out-of-n Systems

Tatiana Komarova

The paper considers nonparametric estimation of absolutely continuous distribution functions of lifetimes of non-identical components in k-out-of-n systems from the observed “autopsy” data. In economics,ascending “button...Read more...

27 August 2013

CASEpaper

Small-area measures of income poverty

Alex Fenton

This paper considers techniques for measuring the prevalence of income poverty within small areas, or “neighbourhoods”, in Britain. The ultimate purpose is applying such statistics to investigating how the micro-spatial ...Read more...

20 May 2013

Econometrics Paper

Testing for Structural Stability in the Whole Sample

Javier Hidalgo and Myung Hwan Seo

The paper examines a Lagrange Multiplier type test for the constancy of the parameter in general models with dependent data without imposing any arti…cial choice of the possible location of the break. In order to prove t...Read more...

1 September 2012

Econometrics Paper

TESTING FOR STRUCTURAL STABILITY IN THE WHOLE SAMPLE

Javier Hidalgo and Myunghwan Seo

The paper examines a Lagrange Multiplier type test for the constancy of the parameter in general models with dependent data without imposing any artificial choice of the possible location of the break. In order to prove ...Read more...

1 October 2011

Econometrics Paper

Adapting Kernel Estimation to Uncertain Smoothness

Yulia Kotlyarova, Marcia M Schafgans and Victoria Zinde-Walsh

For local and average kernel based estimators, smoothness conditions ensure that the kernel order determines the rate at which the bias of the estimator goes to zero and thus allows the econometrician to control the rate...Read more...

April 2011

Econometrics Paper

Semiparametric Estimation of Markov Decision Processeswith Continuous State Space

Sorawoot Srisuma and Oliver Linton

We propose a general two-step estimation method for the structural parameters of popular semiparametric Markovian discrete choice models that include a class of Markovian Games and allow for continuous observable state s...Read more...

August 2010

Econometrics Paper

Statistical Inference on Regression with Spatial Dependence

Peter M Robinson and Supachoke Thawornkaiwong

Central limit theorems are developed for instrumental variables estimates of linear and semi-parametric partly linear regression models for spatial data. General forms of spatial dependence and heterogeneity in explanato...Read more...

April 2010

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

Nonparametric Regression with a Latent Time Series

Oliver Linton, Søren Feodor Nielsen and Jens Perch Nielsen

In this paper we investigate a class of semiparametric models for panel datasets where the cross-section and time dimensions are large. Our model contains a latent time series that is to be estimated and perhaps forecast...Read more...

October 2009

Econometrics Paper

Nonparametric Estimation of a Polarization Measure

Gordon Anderson, Oliver Linton and Yoon-Jae Whang

This paper develops methodology for nonparametric estimation of a polarization measure due to Anderson (2004) and Anderson, Ge, and Leo (2006) based on kernel estimation techniques. We give the asymptotic distribution th...Read more...

June 2009

Econometrics Paper

Large-Sample Inference on Spatial Dependence

Peter M Robinson

We consider cross-sectional data that exhibit no spatial correla- tion, but are feared to be spatially dependent. We demonstrate that a spatial version of the stochastic volatility model of financial econometrics, entail...Read more...

January 2009

Econometrics Paper

Smoothness Adaptive Average Derivative Estimation

Marcia M Schafgans and Victoria Zinde-Walsh

Many important models, such as index models widely used in limited dependent variables, partial linear models and nonparametric demand studies utilize estimation of average derivatives (sometimes weighted) of the conditi...Read more...

August 2008

Econometrics Paper

Bootstrap Tests of Stochastic Dominance with Asymptotic Similarity on the Boundary

Oliver Linton, Kyungchul Song and Yoon-Jae Whang

We propose a new method of testing stochastic dominance which improves on existing tests based on bootstrap or subsampling. Our test requires estimation of the contact sets between the marginal distributions. Our tests h...Read more...

February 2008

Econometrics Paper

Multiple Local Whittle Estimation in Stationary Systems

Peter M Robinson

Moving from univariate to bivariate jointly dependent long memory time series introduces a phase parameter (?), at the frequency of principal interest, zero; for short memory series ? = 0 automatically. The latter case h...Read more...

October 2007

Econometrics Paper

Efficient Estimation of a Semiparametric Characteristic-Based Factor Model of Security Returns

Gregory Connor, Matthias Hagmann and Oliver Linton

This paper develops a new estimation procedure for characteristic-based factor models of security returns. We treat the factor model as a weighted additive nonparametric regression model, with the factor returns serving ...Read more...

October 2007

Econometrics Paper

DIAGNOSTIC TESTING FOR COINTEGRATION

Peter Robinson

We develop a sequence of tests for specifying the cointegrating rank of, possibly fractional, multiple time series. Memory parameters of observables are treated as unknown, as are those of possible cointegrating errors. ...Read more...

September 2007

Econometrics Paper

SEMIPARAMETRIC ESTIMATION OF A BINARY RESPONSE MODEL WITH A CHANGE-POINT DUE TO A COVARIATE THRESHOLD

Sokbae Lee and Myunghwan Seo

This paper is concerned with semiparametric estimation of a threshold binary response model. The estimation method considered in the paper is semiparametric since the parameters for a regression function are finite-dimen...Read more...

February 2007

Econometrics Paper

Efficient Estimation of the Semiparametric Spatial Autoregressive Model

Peter M Robinson

Efficient semiparametric and parametric estimates are developed for a spatial autoregressive model, containing nonstochastic explanatory variables and innovations suspected to be non-normal. The main stress is on the cas...Read more...

February 2007

Econometrics Paper

Semiparametric Estimation of a Characteristic-based Factor Model of Common Stock Returns

Gregory Connor and Oliver Linton

We introduce an alternative version of the Fama-French three-factor model of stock returns together with a new estimation methodology. We assume that the factor betas in the model are smooth nonlinear functions of observ...Read more...

September 2006

Econometrics Paper

Conditional-Sum-of-Squares Estimation of Models for Stationary Time Series with Long Memory

Peter M Robinson

Employing recent results of Robinson (2005) we consider the asymptotic properties of conditional-sum-of-squares (CSS) estimates of parametric models for stationary time series with long memory. CSS estimation has been co...Read more...

September 2006

Econometrics Paper

Nonparametric Transformation to White Noise

Oliver Linton and Enno Mammen

We consider a semiparametric distributed lag model in which the “news impact curve” m is nonparametric but the response is dynamic through some linear filters. A special case of this is a nonparametric regression with se...Read more...

August 2006

Econometrics Paper

Finite Sample Performance in Cointegration Analysis of Nonlinear Time Series with Long Memory

Afonso Gonçalves da Silva and Peter M Robinson

Nonlinear functions of multivariate financial time series can exhibit long memory and fractional cointegration. However, tools for analysing these phenomena have principally been justified under assumptions that are inva...Read more...

April 2006

Econometrics Paper

Instrumental Variables Estimation of Stationary and Nonstationary Cointegrating Regressions

Peter M Robinson and M. Gerolimetto

Instrumental variables estimation is classically employed to avoid simultaneous equations bias in a stable environment. Here we use it to improve upon ordinary least squares estimation of cointegrating regressions betwee...Read more...

April 2006

Econometrics Paper

ROOT-N-CONSISTENT ESTIMATION OF WEAK FRACTIONAL COINTEGRATION

Javier Hualde and Peter M Robinson

Empirical evidence has emerged of the possibility of fractional cointegration such that the gap, ß, between the integration order d of observable time series, and the integration order ? of cointegrating errors, is less ...Read more...

March 2006

Econometrics Paper

Nonparametric Spectrum Estimation for Spatial Data

Peter M Robinson

Smoothed nonparametric kernel spectral density estimates are considered for stationary data observed on a d-dimensional lattice. The implications for edge effect bias of the choice of kernel and bandwidth are considered....Read more...

February 2006

Econometrics Paper

Consistent estimation of the memory parameter for nonlinear time series

Violetta Dalla, Liudas Giraitis and Javier Hidalgo

For linear processes, semiparametric estimation of the memory parameter, based on the log-periodogram and local Whittle estimators, has been exhaustively examined and their properties are well established. However, excep...Read more...

January 2006

Econometrics Paper

A Smoothed Least Squares Estimator For Threshold Regression Models

Myunghwan Seo and Oliver Linton

We propose a smoothed least squares estimator of the parameters of a threshold regression model. Our model generalizes that considered in Hansen (2000) to allow the thresholding to depend on a linear index of observed re...Read more...

October 2005

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

Econometrics Paper

A method of moments estimator for semiparametric index models

Bas Donkers and Marcia M Schafgans

We propose an easy to use derivative based two-step estimation procedure for semi-parametric index models. In the first step various functionals involving the derivatives of the unknown function are estimated using nonpa...Read more...

July 2005

Econometrics Paper

Modified Whittle Estimation of Multilateral Models on a Lattice

Peter M Robinson and J Vidal Sanz

In the estimation of parametric models for stationary spatial or spatio-temporal data on a d-dimensional lattice, for d >= 2, the achievement of asymptotic efficiency under Gaussianity, and asymptotic normality more gene...Read more...

June 2005

Econometrics Paper

Semiparametric Estimation for Stationary Processes whose Spectra have an Unknown Pole

Javier Hidalgo

We consider the estimation of the location of the pole and memory parameter, ?<sup>0</sup> and a respectively, of covariance stationary linear processes whose spectral density function f(?) satisfies f(?) ~ C|? - ?<sup>0...Read more...

January 2005

Econometrics Paper

Efficiency Improvements in Inference on Stationary and Nonstationary Fractional Time Series

Peter M Robinson

We consider a time series model involving a fractional stochastic component, whose integration order can lie in the stationary/invertible or nonstationary regions and be unknown, and additive deterministic component cons...Read more...

November 2004

Econometrics Paper

Cointegration in Fractional Systems with Deterministic Trends

Fabrizio Iacone and Peter M Robinson

We consider a cointegrated system generated by processes that may be fractionally integrated, and by additive polynomial and generalized polynomial trends. In view of the consequent competition between stochastic and det...Read more...

May 2004

Econometrics Paper

Nonparametric Inference for Unbalanced Time Series Data

Oliver Linton

This paper is concerned with the practical problem of conducting inference in a vector time series setting when the data is unbalanced or incomplete. In this case, one can work only with the common sample, to which a sta...Read more...

April 2004

Econometrics Paper

ROBUST COVARIANCE MATRIX ESTIMATION: 'HAC' Estimates with Long Memory/Antipersistence Correction

Peter M Robinson

Smoothed nonparametric estimates of the spectral density matrix at zero frequency have been widely used in econometric inference, because they can consistently estimate the covariance matrix of a partial sum of a possibl...Read more...

March 2004

Econometrics Paper

The Distance between Rival Nonstationary Fractional Processes

Peter M Robinson

Asymptotic inference on nonstationary fractional time series models, including cointegrated ones, is proceeding along two routes, determined by alternative definitions of nonstationary processes. We derive bounds for the...Read more...

March 2004

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

Nonparametric Neural Network Estimation of Lyapunov Exponents and a Direct Test for Chaos

Oliver Linton and Mototsugu Shintani

This paper derives the asymptotic distribution of the nonparametric neural network estimator of the Lyapunov exponent in a noisy system. Positivity of the Lyapunov exponent is an operational definition of chaos. We intro...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

Econometrics Paper

An Alternative Bootstrap to Moving Blocks for Time Series Regression Models

Javier Hidalgo

The purpose of this paper is to introduce and examine two alternative, although similar, approaches to the Moving Blocks and subsampling Bootstraps to bootstrapping the estimator of the parameters for time series regress...Read more...

May 2003

Econometrics Paper

Asymptotic Expansions for Some Semiparametric Program Evaluation Estimators

Hidehiko Ichimura and Oliver Linton

We investigate the performance of a class of semiparametric estimators of the treatment effect via asymptotic expansions. We derive approximations to the first two moments of the estimator that are valid to 'second order...Read more...

May 2003

Econometrics Paper

Estimation of Semiparametric Models when the Criterion Function is not Smooth

Xiaohong Chen, Oliver Linton and Ingrid Van Keilegom

We provide easy to verify sufficient conditions for the consistency and asymptotic normality of a class of semiparametric optimization estimators where the criterion function does not obey standard smoothness conditions ...Read more...

May 2003

Econometrics Paper

Edgeworth Expansions for Semiparametric Whittle Estimation of Long Memory

Liudas Giraitis and Peter M Robinson

The semiparametric local Whittle or Gaussian estimate of the long memory parameter is known to have especially nice limiting distributional properties, being asymptotically normal with a limiting variance that is complet...Read more...

September 2002

Econometrics Paper

Higher-Order Kernel Semiparametric M-Estimation of Long Memory

Marc Henry and Peter M Robinson

Econometric interest in the possibility of long memory has developed as a flexible alternative to, or compromise between, the usual short memory or unit root prescriptions, for example in the context of modelling cointeg...Read more...

September 2002

Econometrics Paper

More Efficient Kernel Estimation in Nonparametric Regression with Autocorrelated Errors

Raymond J Carroll, Oliver Linton, Enno Mammen and Zhijie Xiao

We propose a modification of kernel time series regression estimators that improves efficiency when the innovation process is autocorrelated. The procedure is based on a pre-whitening transformation of the dependent vari...Read more...

June 2002

Econometrics Paper

Nonparametric Neutral Network Estimation of Lyapunov Exponents and a Direct Test for Chaos

Oliver Linton and Mototsugu Shintani

This paper derives the asymptotic distribution of nonparametric neural network estimator of the Lyapunov exponent in a noisy system proposed by Nychka et al (1992) and others. Positivity of the Lyapunov exponent is an op...Read more...

March 2002

Econometrics Paper

Adapting to Unknown Disturbance Autocorrelation in Regression with Long Memory

Javier Hidalgo and Peter M Robinson

We show that it is possible to adapt to nonparametric disturbance auto-correlation in time series regression in the presence of long memory in both regressors and disturbances by using a smoothed nonparametric spectrum e...Read more...

September 2001

Econometrics Paper

Narrow-Band Analysis of Nonstationary Processes

D Marinucci and Peter M Robinson

The behaviour of averaged periodograms and cross-periodograms of a broad class of nonstationary processes is studied. The processes include nonstationary ones that are fractional of any order, as well as asymptotically s...Read more...

July 2001

Econometrics Paper

A Nonparametric Regression Estimator that Adapts to Error Distribution of Unknown Form

Oliver Linton and Zhijie Xiao

We propose a new estimator for nonparametric regression based on local likelihood estimation using an estimated error score function obtained from the residuals of a preliminary nonparametric regression. We show that our...Read more...

June 2001

Econometrics Paper

Parametric Estimation under Long-Range Dependence

Liudas Giraitis and Peter M Robinson

Parametric estimation is discussed in a variety of models exhibiting long-range dependence....Read more...

May 2001

Econometrics Paper

The Estimation of Conditional Densities

Xiaohong Chen, Oliver Linton and Peter M Robinson

We discuss a number of issues in the smoothed nonparametric estimation of kernel conditional probability density functions for stationary processes. The kernel conditional density estimate is a ratio of joint and margina...Read more...

May 2001

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

Theoretical Economics Paper

Collective Bargaining under Complete Information

Carlos Diaz-Moreno and Jose E. Galdon-Sanchez

In this paper, we build and structurally estimate a complete information bargaining model of collective negotiation for Spain. For large firms, the assumption of complete information seems a sensible one, and it matches ...Read more...

July 2000

Econometrics Paper

Edgeworth Approximations for Semiparametric Instrumental Variable Estimators and Test Statistics

Oliver Linton

We stablish the validity of higher order asymptotic expansions to the distribution of a version of the nonlinear semiparametric instrumental variable considered in Newey (1990) as well as to the distribution of a Wald st...Read more...

July 2000

Econometrics Paper

Testing the Capital Asset Pricing Model Efficiently under Elliptical Symmetry: A Semiparametric Approach

Douglas J Hodgson, Oliver Linton and Keith Vorkink

Adaptive estimation; capital asset pricing model; efficiency...Read more...

July 2000

Econometrics Paper

Simulated Asymptotic Least Squares Theory

Ramdan Dridi

We develop in this paper a general econometric methodology referred to as the Simulated Asymptotic Least Squares (SALS). It is shown that this approach provides a unifying theory for 'approximation-based' or simulation-b...Read more...

June 2000

Econometrics Paper

Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series - (Now published in 'Journal of the American Statistical Association', 95, (2000), pp.1229-1243.)

Peter M Robinson and Carlos Velasco

Whittle pseudo-maximum likelihood estimates of parameters for stationary time series have been found to be consistent and asumptotically normal in the presence of long-range dependence. Generalizing the definition of the...Read more...

May 2000

Econometrics Paper

Yield Curve Estimation by Kernel Smoothing Methods

Oliver Linton, Enno Mammen, Jens Perch Nielsen and C Tanggaard

We introduce a new method for the estimation of discount functions, yield curves and forward curves from government issued coupon bonds. Our approach is nonparametric and does not assume a particular functional form for ...Read more...

April 2000

Econometrics Paper

Adaptive Varying-Coefficient Linear Models

Zongwu Cai, Jianqin Fan and Qiwei Yao

Varying-coefficient linear models arise from multivariate nonparametric regression, nonlinear time series modelling and forecasting, functional data analysis, longitudinal data analysis, and others. It has been a common ...Read more...

April 2000

Econometrics Paper

On Intercept Estimation in the Sample Selection Model

Marcia M Schafgans

We provide a proof of the consistency and asymptotic normality of the estimator suggested by Heckman (1990) for the intercept of a semiparametrically estimated sample selection model. The estimator is based on 'identific...Read more...

January 2000

Econometrics Paper

Long and Short Memory Conditional Heteroscedasticity in Estimating the Memory Parameter of Levels - (Now published in 'Econometric Theory', 15 (1999), pp.299-336.)

Marc Henry and Peter M Robinson

Semiparametric estimates of long memory seem useful in the analysis of long financial time series because they are consistent under much broader conditions than parametric estimates. However, recent large sample theory f...Read more...

August 1998

Development Economics Paper

Intrahousehold Resource Allocation in Rural Pakistan: A Semi-parametric Analysis

Cliff Attfield and Sonia R Bhalotra

We estimate semiparametric Engel curves for rural Pakistan using a large household survey. This allows us to obtain consistent estimates of the effects of household size and composition on consumption patterns even when ...Read more...

February 1998

Econometrics Paper

Some Practical Issues in Maximum Simulated Likelihood

V A Hajivassiliou

In this paper, I explore ways of recapturing the efficiency property for estimators that rely on simulation. In particular, I show that this can be achieved by exploiting two-step maximum stimulated likelihood (SL) estim...Read more...

November 1997

Econometrics Paper

Inference-without-Smoothing in the Presence of Nonparametric Autocorrelation - (Now published in 'Econometrica', 66 (1998), pp.1163-1182.)

Peter M Robinson

In a number of econometric models, rules of large-sample inference require a consistent estimate of f(0), where f (?) is the spectral density matrix of yt = ut?xt, for covariance stationary vectors ut, xt. Typically yt i...Read more...

October 1997

Econometrics Paper

The Method of Simulated Scores for the Estimation of LDV Models

V A Hajivassiliou and DL McFadden

The method of simulated scores (MSS) is presented for estimating limited dependent variables models (LDV) with flexible correlation structure in the unobservables. We propose simulators that are continuous in the unknown...Read more...

May 1997

Econometrics Paper

Semiparametric Estimation of a Sample Selection Model: A Simulation Study

Marcia M Schafgans

Standard approaches to the estimation of sample selection models are known to be inconsistent under non-normality. In particular, this paper considers the two-step Heckman (1976, 1979) estimator of the interecept of the ...Read more...

March 1997

Econometrics Paper

Testing Game-Theoretic Models of Price Fixing Behaviour

V A Hajivassiliou

This paper analyses price fixing by the Joint Executive Committee railroad cartel from 1880 to 1886 and develops tests of two game-theoretic models of tacit collusion. The first model, due to Abreu, Pearce and Stacchetti...Read more...

March 1997

Econometrics Paper

Gender Wage Differences in Malaysia: Parametric and Semiparametric Estimation

Marcia M Schafgans

This paper is an empirical study on the labor force in (Peninsular) Malaysia. It applies both parametric and semiparametric sample selection methods to the estimation of wage equations. These equations are then used to a...Read more...

March 1997

Econometrics Paper

Autocorrelation-Robust Inference - (Now published in 'Handbook of Statistics', vol.15, G S Maddala and C R Rao (eds), Elsevier Science Publishers BV (1997), pp.267-298.)

Peter M Robinson and Carlos Velasco

We consider statistical inference in the presence of serial dependence. The main focus is on use of statistics that are constructed as if no dependence were believed present, and are asymptotically normal in the presence...Read more...

December 1996

DARP Paper

Modelling Income Distribution in Spain: A Robust Parametric Approach

Mercedes Prieto Alaiz and Maria-Pia Victoria-Feser

This paper presents a robust estimation of two income distribution models using Spanish data for the period 1990-91 under three different concepts of income. The effect on the estimates of the Theil index due to the choi...Read more...

June 1996

DARP Paper

Income Distribution in Brazil 1981-1990: Parametric and Non-Parametric Approaches

Frank A Cowell, Francisco H.G. Ferreira and Julie Litchfield

Using a newly available comprehensive micro-data set we examine changes in the shape of the Brazilian income distribution during the 'lost decade' of the 1980s. We adopt alternative parametric and non-parametric approach...Read more...

March 1996

Econometrics Paper

Spectral Analysis for Bivariate Time Series with Long Memory - (Now published in 'Econometric Theory',12 (1997)pp.773-792.)

Javier Hidalgo

This paper provides limit theorems for special density matrix estimators and functionals of it for a bivariate co variance stationary process whose spectral density matrix has singularities not only at the origin but pos...Read more...

February 1996

DARP Paper

Robustness Properties of Inequality Measures: The Influence Function and the Principle of Transfers (Revised version in Econometrica, 64 (1996), pp.77-101)

Frank A Cowell and Maria-Pia Victoria-Feser

Inequality measures are often used to summarise information about empirical income distributions. However , the resulting picture of the distribution and of the changes in the distribution can be severely distorted if th...Read more...

October 1993

Economics of Industry Paper

Under Threat: Potential Competition, Litigation and the Private Value of Patent Protection

Jean O. Lanjouw

This paper investigates the effect of the threat and occurrence of patent litigation on the private value of patent protection. Potential challenges are introduced into a renewal model as a factor in patentee decisions a...Read more...

July 1992