The maximum likelihood estimator (MLE) under the normality assumption of error terms is widely used to estimate the Box-Cox transformation model. However, since the error terms cannot be normally distributed, it is not a proper estimator. In other words, the estimator is inconsistent. In this...

The simple linear regression model tries to explain the observed values of the dependent variable in terms of those of the explanatory variable. In particular, this note considers the assumption concerning the mean square deviation of the explanatory variable. It is showed that it is not a...

This paper estimates an empirical nonstationary panel regression model that tests long-run consumption risk sharing across a sample of OECD and emerging market (EM) countries. This is in contrast to the existing literature on consumption risk sharing, which is mainly about risks at business...

The benefits from financial development are known to vary across industries. However, no systematic effort has been made to determine the technological characteristics that are shared by industries that tend to grow relatively faster in more financially developed countries. This paper explores a...

We continue presenting recent achievements in econometrics not yet widely known to a Russian reader. The generalized method of moments (GMM) was introduced to econometrical research by L. Hansen in his seminal paper in 1982. The GMM is a result of unifying two main approaches to estimating model...

In this paper, we will discuss a procedure to improve the usual estimator of a linear functional of the unknown regression function in inverse non-parametric regression models. In Klaassen et [Klaassen, C.A.J., Lee, E.-J. and Ruymgaart, F.H., 2001, On efficiency of indirect estimation of...

One approach to oil markets is to treat oil as an asset, besides its role as a commodity. Speculative and nonspeculative activity by investors in the derivatives markets could be responsible for a sizable increase in oil prices. This paper recognizes both the consumption and investment aspects...

This study investigates the relationship between uncertainty and investment using U.K. data at different levels of aggregation. Motivated by a comparative econometric analysis using a firm-level panel and aggregate time-series data, we analyze the implications of aggregating nonlinear...

Many estimates of early-warning-system (EWS) models of currency crisis have reported incorrect standard errors because of serial correlation in the context of panel probit regressions. This paper documents the magnitude of the problem, proposes and tests a solution, and applies it to previously...