Over the last four decades, a large number of structural models have been developed to estimate and price credit risk. The focus of the paper is on a neglected issue pertaining to fundamental shifts in the structural parameters governing default. We propose formal quality control procedures that...

This paper proposes a simple model to evaluate the role of regulatory controls. It is formulated so as to enable drawing empirical conclusions on the basis of usual hypothesis tests. Three potential roles of standards are examined they can act as penalties for non-compliant firms, as norms to...

We adapt the Bierens (Econometrica, 1990) test to the I-regular models of Park and Phillips (Econometrica, 2001). Bierens (1990) defines the test hypoth- esis in terms of a conditional moment condition. Under the null hypothesis, the moment condition holds with probability one. The probability...

A simple specification test based on fully modified residuals and the CUSUM test for cointegration of Xiao and Phillips (Journal of Econometrics, 2002) are considered as means of testing for functional form in long-run cointegrating relations. It is shown that both tests are consistent under...

The recent growth literature has seen an explosion of work exploring the role of new and fundamental theories of growth such as geography, institutions, ethnic fractionalization, and religion. Nevertheless, claims about the empirical validity of these new growth theories are typically made...

We study regression models that involve data sampled at different frequencies. We derive the asymptotic properties of the NLS estimators of such regression models and compare them with the LS estimators of a traditional model that involves aggregating or equally weighting data to estimate a...

The paper presents the first empirical analysis of electricity consumption in Cyprus. Using annual data from 1960 to 2004, we have examined electricity use in the residential and the services sectors, which are the fastest-growing electricity consumers in the island, and its interaction with...

We use recent matched employer-employee data to directly test if white workers have a taste for racial discrimination in Britain. We formally introduce individual and firm heterogeneity into the discrimination model used by Becker (1957, 1971) which we extend to generate predictions consistent...

Using matched employer-employee data we examine firm-specific gender and ethnicity pay differentials in Britain. We estimate an econometric earnings model using the partially-observed pay variable provided in the data and test the normality assumption that underlies the usual interval regression...