A well-known problem in multiple regression is that it is possible to reject the hypothesis that all slope parameters are equal to zero, yet when applying the usual Student's T-test to the individual parameters, no significant differences are found. An alternative strategy is to estimate...

Paper recalls motivation for generalized method of moments (GMM) as well as the idea estimated generalized method of moments. Having demonstrated the danger of underrating the heteroscedasticity of disturbances and recalling Cragg's idea of improvement of estimation under heteroscedasticity, it...

This is pre-print of a book review of a graduate econometrics textbook entitled "Statistical Foundations for Econometric Techniques," by Asad Zaman. Four parts of the book cover estimation, testing, asymptotics (first and higher order), and empirical Bayes methods for regression models. Emphasis...

This paper analyzes the empirical hedonic prices for non-standard condominiums and single family houses using nonparametric estimates as well as a generalized additive model for the spatial generalization of the attractiveness of all Swiss communities. We find that the assumption of...

In this paper we illustrate the properties of the epsilon-skew-normal (ESN) distribution with respect to developing more flexible regression models. The ESN model is a simple one-parameter extension of the standard normal model. The additional parameter ~ corresponds to the degree of skewness in...

The paper tests the hypothesis that highly leveraged firms lose market shares to their less leveraged rivals in an industry downturn. Both parametric and semiparametric regression methods are applied to analyse the relationships between firm performance and leverage. It is found that the highly...