-
STATE DEPENDENCE AND HETEROGENEITY IN HEALTH USING A BIAS-CORRECTED FIXED-EFF...
This paper estimates a dynamic ordered probit model of self-assessed health with two fixed effects: one in the linear index equation and one in the cut-points. This robustly... -
TIME VARIATION IN THE DYNAMICS OF WORKER FLOWS: EVIDENCE FROM NORTH AMERICA A...
Vector autoregressive methods have been used to model the interrelationships between job vacancy rates, job separation rates and job-finding rates using tools such as impulse... -
FIRM HETEROGENEITY, PERSISTENT AND TRANSIENT TECHNICAL INEFFICIENCY: A GENERA...
This paper considers a panel data stochastic frontier model that disentangles unobserved firm effects (firm heterogeneity) from persistent (time-invariant/long-term) and... -
NUMERICAL DISTRIBUTION FUNCTIONS OF FRACTIONAL UNIT ROOT AND COINTEGRATION TE...
We calculate, by simulations, numerical asymptotic distribution functions of likelihood ratio tests for fractional unit roots and cointegration rank. Because these distributions... -
AN EMPIRICAL GROWTH MODEL FOR MAJOR OIL EXPORTERS (replication data)
This paper develops a long-run output relation for a major oil-exporting economy where the oil income-to-output ratio remains sufficiently high over a prolonged period. It... -
INFORMATION IN THE YIELD CURVE: A MACRO-FINANCE APPROACH (replication data)
We use a macro-finance model, incorporating macroeconomic and financial factors, to study the term premium in the US bond market. Estimating the model using Bayesian techniques,... -
DO PEERS AFFECT STUDENT ACHIEVEMENT? EVIDENCE FROM CANADA USING GROUP SIZE VA...
We provide the first empirical application of a new approach proposed by Lee (Journal of Econometrics 2007; 140(2), 333-374) to estimate peer effects in a linear-in-means model... -
MAXIMUM LIKELIHOOD ESTIMATION OF FACTOR MODELS ON DATASETS WITH ARBITRARY PAT...
In this paper we modify the expectation maximization algorithm in order to estimate the parameters of the dynamic factor model on a dataset with an arbitrary pattern of missing...
