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The impact of reserve prices on the perceived bias of expert appraisals of fi...
We examine whether expert appraisals provided to bidders before major art auctions are unbiased indicators of value. Despite a strong grounding in theory, this aspect of optimal... -
From market shares to consumer types: Duality in differentiated product deman...
A widely applied method for differentiated product demand estimation, introduced by Berry, Levinsohn and Pakes in 1995, is founded on matching observed and theoretical market... -
Dynamic stochastic copula models: estimation, inference and applications (rep...
We propose a new dynamic copula model in which the parameter characterizing dependence follows an autoregressive process. As this model class includes the Gaussian copula with... -
Estimation of sample selection models with spatial dependence (replication data)
We consider the estimation of a sample selection model that exhibits spatial autoregressive errors (SAE). Our methodology is motivated by a two-step strategy where in the first... -
Alternative technical efficiency measures: Skew, bias and scale (replication ...
In the fixed-effects stochastic frontier model an efficiency measure relative to the best firm in the sample is universally employed. This paper considers a new measure relative... -
Trade creation and diversion revisited: Accounting for model uncertainty and ...
The effect of preferential trade agreements (PTAs) on trade flows is subject to model uncertainty stemming from the diverse and even contradictory effects suggested by the... -
Specification and testing of models estimated by quadrature (replication data)
This paper proposes a test to check the specification of models with unobserved individual effects integrated out by quadrature and also a simple way of increasing the... -
Productivity and efficiency dynamics in Indian banking: An input distance fun...
Banking technology is typically characterized by multiple inputs and multiple outputs that are associated with various attributes, such as different types of deposits, loans,... -
Assessing and valuing the nonlinear structure of hedge fund returns (replicat...
Several studies have put forward that hedge fund returns exhibit a nonlinear relationship with equity market returns, captured either through constructed portfolios of traded... -
npRmpi: A package for parallel distributed kernel estimation in R (replicatio...
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Regime shifts in stock-flow I(2)-I(1) systems: the case of US fiscal sustaina...
In the last two decades, fiscal sustainability has been tested through the use of non-stationary time series analysis. Two different approximations can be found in the... -
Intertemporal consumption choices, transaction costs and limited participatio...
This paper builds a unifying framework based on the theory of intertemporal consumption choices that brings together the limited participation-based explanation of the... -
Realising the future: forecasting with high-frequency-based volatility (HEAVY...
This paper studies in some detail a class of high-frequency-based volatility (HEAVY) models. These models are direct models of daily asset return volatility based on realised...
