We introduce a new panel data estimation technique for production and cost functions, the recursive thick frontier approach (RTFA). RTFA has two advantages over existing econometric frontier methods. First, technical inefficiency is allowed to be dependent on the explanatory variables of the...

This paper presents a new approach to the old problem of linear dependency of age, cohort and time effects. It is shown that second differences of the effects can be estimated without any normalization restrictions, providing information on the shape of the age-, cohort- and time-effect...

This paper considers the informational efficiency of the UK owner-occupied housing market over the period 1991-2001. Original small-area, monthly, quality-adjusted house price index series are developed from raw housing transaction observations for a number of UK counties and cities. These...

In an important paper, <link rid="b4">Dempster, Laird and Rubin (1977)</link> showed how the expectation maximization (EM) algorithm could be used to obtain maximum likelihood estimates of parameters in a multinomial probability model with missing information. This article extends Dempster, Laird and Rubin's work on...

We use micro data on manufacturing employees in Kenya and Tanzania to estimate returns to education and investigate the shape of the earnings function in the period 1993-2001. In Kenya, there have been long-run falls in the returns to education while for Tanzania there is evidence of rising...

The well-known lack of power of unit-root tests has often been attributed to the short length of macroeconomic variables and also to data-generating processes (DGPs) departing from the "I"(1)-"I"(0) models. This paper shows that by using long spans of annual real gross national product (GNP) and...

We propose a Lagrange Multiplier-type statistic to test the null hypothesis of cointegration allowing for the possibility of a structural break, in both the deterministic and the cointegration vectors. Our proposal focuses on the presence of endogenous regressors. The test complements the usual...

This paper addresses the concept of multicointegration in a panel data framework and builds upon the panel data cointegration procedures developed in Pedroni ["Econometric Theory" (2004), Vol. 20, pp. 597-625]. When individuals are either cross-section independent, or cross-section dependence...

Microsimulation models are commonly used to examine the distributional impact of reforms of the means-tested benefit system. Take-up behaviour is related to the level of entitlement, so reform may induce changes in take-up. We develop a stochastic simulation method and apply it to a probit model...