A semi-parametric model is proposed in which a parametric filtering of a non-stationary time series, incorporating fractionally differencing with short memory correction, removes correlation but leaves a non-parametric deterministic trend. Estimates of the memory parameter and other dependence...

We derive the parameter restrictions that a standard equity market model implies for a bivariate vector autoregression for stock prices and dividends, and we show how to test these restrictions using likelihood ratio tests. The restrictions, which imply that stock returns are unpredictable, are...

In this note we consider the distributions of the Wald, likelihood ratio and Lagrange multiplier statistics in the classical linear regression model. It is shown that the finite sample distribution of each test statistic can be written as a member of the generalized beta model introduced by...

Prior research has identified two modes of quantitative estimation: numerical-retrieval and ordinal-conversion. In this paper we introduce a third mode, which operates by a feature-based inference process. In contrast to prior research, the results of 3 experiments demonstrate that people...

This paper reviews concepts, principles and tools that have led to a coherent mathematical theory of causation based on structural models. The theory provides solutions to a number of problems in causal inference, including questions of confounding control, policy analysis, mediation, missing...

This paper develops an alternative approach to the widely used Difference-In-Difference (DID) method for evaluating the effects of policy changes. In contrast to the standard approach, we introduce a nonlinear model that permits changes over time in the effect of unobservables (e.g., there may...

Reject inference is a method for inferring how a rejected credit applicant would have behaved had credit been granted. Credit-quality data on rejected applicants are usually missing not at random (MNAR). In order to infer credit-quality data MNAR, we propose a flexible method to generate the...