We take a new look at the resampled efficiency technique developed by Michaud (1998) and compare it with the Markowitz mean-variance portfolio construction technique by assessing the performance of three representative portfolios, i.e. the global minimum variance portfolio, the intermediate...

We introduce a new Stata program xtspj as a bias correction tool for nonlinear models with fixed effects. The correction removes the first-order bias term using the split-panel jackknife estimation technique introduced by Dhaene and Jochmans (2015). Both the jackknife of the parameter and the...

Bayesian dynamic linear models (DLM) are useful in time series modelling because of the flexibility that they present in obtaining a good forecast. They are based on a decomposition of the relevant factors which explain the behavior of the series through a series of state parameters....

In the present paper we consider the Coefficient of Gini (Kendall and Stuart, 1982), for income distribution. This statistic is derived from data showing the annual taxes paid by the Greek taxpayers, for years 1960 to 1996. An intractable issue is the estimation of its variance because of the...