Several spatial econometric approaches are available to model spatially correlated disturbances in count models, but there are at present no structurally consistent count models incorporating spatial lag autocorrelation. A two-step, limited information maximum likelihood estimator is proposed to...

Realized variance option and options on quadratic variation normalized to unit expectation are analysed for the property of monotonicity in maturity for call options at a fixed strike. When this condition holds the risk-neutral densities are said to be increasing in the convex order. For...

This paper estimates and solves a multi-country version of the standard DSGE New Keynesian (NK) model. The country-specific models include a Phillips curve determining inflation, an IS curve determining output, a Taylor Rule determining interest rates, and a real effective exchange rate...

Delayed payment (trade credit) and prepayment are widely observed forms of interfirm credit. We propose a simple theory to account for the prevalence of such credit. A downstream firm trades off inventory holding costs against lost sales. Lost final sales impose a negative externality on the...

We consider using observational data to estimate the effect of a treatment on disease recurrence, when the decision to initiate treatment is based on longitudinal factors associated with the risk of recurrence. The effect of salvage androgen deprivation therapy (SADT) on the risk of recurrence...

The weighted Kaplan–Meier (WKM) estimator is often used to incorporate prognostic covariates into survival analysis to improve efficiency and correct for potential bias. In this paper, we generalize the WKM estimator to handle a situation with multiple prognostic covariates and...

This paper addresses the problem of estimating the tail index Α of distributions with heavy, Pareto-type tails for dependent data, that is of interest in the areas of finance, insurance, environmental monitoring and teletraffic analysis. A novel approach based on the max self-similarity scaling...

A popular account for the demise of the U.K.’s monetary targeting regime in the 1980s blames the fluctuating predictive relationships between broad money and inflation and real output growth. Yet ex post policy analysis based on heavily revised data suggests no fluctuations in the predictive...

The role of inventory in explaining the shape of the forward curve and spot price volatility in commodity markets is central in the theory of storage developed by Kaldor [Kaldor, N. (1939) "Speculation and Economic Stability", The Review of Economic Studies 7, 1–27] and Working [Working, H....

In Keynes' General Theory, investment determines effective demand, which determines unemployment and the labour market plays a negligible role. In New Keynesian models, labour market institutions determine the natural rate of unemployment and the speed at which unemployment adjusts to it....