U.K. mortgage markets have undergone major structural changes in the past few years, resulting in mortgages no longer being rationed. The ending of rationing has implications for the specification of empirical models of housing demand. Housing models have never adequately resolved how to...

In this paper we specify and estimate a flexible parametric proportional hazards model. The model specification is flexibly parametric in the sense that the baseline hazard is nonparametric while the effect of the covariates takes a particular functional form. We also add parametric...

This paper is concerned with the large sample efficiency of the asymptotic least-squares (ALS) estimators introduced by Gourieroux, Monfort, and Trognon (1982, 1985) and Chamberlain (1982, 1984). We show how the efficiency of these estimators is affected when additional information is...

We examine the robustness of persistence measurement to different seasonal adjustment procedures. The empirical analysis is based on U.S. data for real gross national product (GNP). Officially published data on U.S. GNP are seasonally adjusted by Census X-11. We find that this series gives...

In this paper a VAR model is considered as a general framework in which a structural model can be tested. We carefully describe the hypotheses defining a structural model; this leads us to discuss various notions such as: predeterminedness, non-causality, exogeneity, contemporaneous...

The package performs estimation and prediction in the context of time-series or cross-section nonparametric models. It is menu-driven and very easy to operate. The manual reads well. This version has some limitations, which can easily be corrected. Nevertheless it provides a useful pedagogical...

Starting from a dynamic optimization principle, the currently most popular approaches to modeling money demand functions are derived. The partial adjustment/adaptive expectations, rational expectations, and error correction mechanism formulations are then estimated using a common data set. The...

A generalized stochastic frontier system is fitted with unbalanced panel data of Egyptian floor tileries and estimated using OLS, "within," feasible GLS, and maximum likelihood. Hausman tests indicate "within" is the correct estimator for the data. Estimates of firm-level techncial and...

Semiparametric models are those where the functional form of some components is unknown. Efficiency bounds are of fundamental importance for such models. The provide a guide to estimation methods and give an asymptotic efficiency standard. The purpose of this paper is to provide an introduction...