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A threshold error-correction model for intraday futures and index returns (re...
Index-futures arbitragers only enter into the market if the deviation from the arbitrage relation is sufficiently large to compensate for transaction costs and associated... -
Identifying the source of dynamics in disaggregated import data (replication ...
This paper uses Kennan's (1988) model to separately identify supply-side and demand-side dynamics in US import data. Dynamics arise from both autocorrelated shocks to supply-... -
Unemployment persistence: does the size of the shock matter? (replication data)
One of the stylized facts of unemployment is that shifts in its mean rate between decades and half-decades account for most of its variance. In this paper, we use a statistical... -
ENDOGENEITY IN COUNT DATA MODELS: AN APPLICATION TO DEMAND FOR HEALTH CARE (r...
The generalized method of moments (GMM) estimation technique is discussed for count data models with endogenous regressors. Count data models can be specified with additive or... -
HETEROGENEITY, EXCESS ZEROS, AND THE STRUCTURE OF COUNT DATA MODELS (replicat...
This paper demonstrates that the unobserved heterogeneity commonly assumed to be the source of overdispersion in count data models has predictable implications for the... -
SEMI-PARAMETRIC ESTIMATION OF HURDLE REGRESSION MODELS WITH AN APPLICATION TO...
This paper develops a semi-parametric estimation method for hurdle (two-part) count regression models. The approach in each stage is based on Laguerre series expansion for the... -
ECONOMIC INCENTIVES AND HOSPITALIZATION IN GERMANY (replication data)
The dramatically rising health expenditures have become a matter of prime concern. Using a rich panel dataset this paper contributes to this debate by investigating factors... -
DEMAND FOR MEDICAL CARE BY THE ELDERLY: A FINITE MIXTURE APPROACH (replicatio...
In this article we develop a finite mixture negative binomial count model that accommodates unobserved heterogeneity in an intuitive and analytically tractable manner. This... -
ESTIMATING THE INNOVATION FUNCTION FROM PATENT NUMBERS: GMM ON COUNT PANEL DA...
The purpose of this paper is to estimate the patent equation, an empirical counterpart to the knowledge-production function. Innovation output is measured through the number of... -
PATENTS, R&D, AND TECHNOLOGICAL SPILLOVERS AT THE FIRM LEVEL: SOME EVIDEN...
This paper analyses the relationship between the main determinants of technological activity and patent applications. To this end, an original panel of 181 international... -
COUNT DATA REGRESSION USING SERIES EXPANSIONS: WITH APPLICATIONS (replication...
A new class of parametric regression models for both under? and overdispersed count data is proposed. These models are based on squared polynomial expansions around a Poisson... -
Regime switching as a test for exchange rate bubbles (replication data)
This paper develops a new test for speculative bubbles, which is applied to data for the Japanese yen, the German mark and the Canadian dollar exchange rates from 1977 to 1991.... -
Occupational pensions and job mobility in Britain: Estimation of a random-eff...
We analyse transitions between pensionable jobs, non-pensionable jobs, and other labour market states, using the 1988/9 UK Retirement Survey. We focus on the positive... -
On a double-threshold autoregressive heteroscedastic time series model (repli...
Tong's threshold models have been found useful in modelling nonlinearities in the conditional mean of a time series. The threshold model is extended to the so-called... -
Parametric and semi-parametric estimation of the binary response model of lab...
This paper compares the familiar probit model with three semiparametric estimators of binary response models in an application to labour market participation of married women.... -
The excess co-movement of commodity prices reconsidered (replication data)
This paper provides an empirical reconsideration of evidence for excess co-movement of commodity prices within the framework of univariate and multivariate GARCH(1, 1) models.... -
The structure of technology in Brazilian sugarcane production, 1975–87: An ap...
Sugarcane-based ethanol has become a primary automotive fuel in Brazil over the past 15 years. Because sugarcane costs are over two-thirds of the costs of ethanol production,... -
Institutional hypothesis of the long-run income velocity of money and paramet...
It has recently been argued that when the conventional specification of M2 income velocity is extended to include proxies for two types of institutional change, as emphasized by... -
Maximum likelihood estimation of a GARCH-stable model (replication data)
Maximum likelihood is used to estimate a generalized autoregressive conditional heteroskedastic (GARCH) process where the residuals have a conditional stable distribution... -
Heterogeneity biases, distributional effects, and aggregate consumption: An e...
Using stratified microdata from the Canadian FAMEX (78-86) surveys, this paper investigates whether observed heterogeneity in marginal propensities to consume across strata...
