The time evolution of prices and saving in a stock market is modelled by a discrete-delay nonlinear dynamical system. The proposed model has a unique and unstable steady-state, so that the time evolution is determined by the nonlinear e¤ects acting out the equilibrium. The analysis of linear...

We propose a new class of observation driven time series models referred to as Generalized Autoregressive Score (GAS) models. The driving mechanism of the GAS model is the scaled score of the likelihood function. This approach provides a unified and consistent framework for introducing...

This paper extends the LSDV bias-corrected estimator in [Bun, M., Carree, M.A. 2005. Bias-corrected estimation in dynamic panel data models, Journal of Business and Economic Statistics, 23(2): 200-10] to unbalanced panels and discusses the analytic method of obtaining the solution. Using a Monte...

The second and third generation of immigrants have been the centre of a lively debate about the economic integration of immigrants into their host societies, but there is little empirical evidence on the German case. In this study I comprehensively portray the labour market outcomes of second...

We propose a new class of observation driven time series models referred to as Generalized Autoregressive Score (GAS) models. The driving mechanism of the GAS model is the scaled score of the likelihood function. This approach provides a unified and consistent framework for introducing...

We propose a new class of observation driven time series models referred to as Generalized Autoregressive Score (GAS) models. The driving mechanism of the GAS model is the scaled score of the likelihood function. This approach provides a unified and consistent framework for introducing...

This paper develops a dynamic structural model of a single decision in order to analyze the effect of voluntary export restraints (VERs) on quality-upgrade and foreign direct investment (FDI) behavior. I estimate the model parameters using a variant of the two-step estimator developed by Bajari...