This comment corrects the errors in the estimation process that appear in Martins (2001). The first error is in the parametric probit estimation, as the previously presented results do not maximize the log-likelihood function. In the global maximum more variables become significant. As for the...

In this paper we test whether German public debt has been sustainable by resorting to a test proposed by Bohn (1998). We apply non-parametric and semi-parametric regressions with time depending coefficients. This test shows that the mean of the coefficient relevant for sustainability has been...

The aim of this paper is to study the impact of stock returns volatility of reference entities on credit default swap rates using a new dataset from the Japanese market. The majority of empirical research suggests the inadequacy of multinormal distribution and then the failure of methods based...

In this paper we present empirical facts on oil exploitation and a model that can replicate some of these facts. In particular, we show that the time path of the oil price, on the one hand, and the extraction rate, on the other hand, seem to follow a U-shaped and an inverted U-shaped...

We consider a diffusion process (X <Subscript> t </Subscript>)<Subscript> t ≥ 0</Subscript>, with drift b(x) and diffusion coefficient σ(x). At discrete times t <Subscript> k </Subscript> = k δ for k from 1 to M, we observe noisy data of the sample path, <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$${Y_{k\delta}=X_{k\delta}+\varepsilon_{k}}$$</EquationSource > </InlineEquation> . The random variables <InlineEquation ID="IEq2"> <EquationSource...</equationsource></inlineequation></equationsource></inlineequation></subscript></subscript></subscript>

We study the determinants of sovereign bond yield spreads across 10 EMU countries between Q1/1999 and Q1/2010. We apply a semiparametric time-varying coefficient model to identify, to what extent an observed change in the yield spread is due to a shift in macroeconomic fundamentals or due to...

This paper discusses parametric analysis of bivariate failure time data, which often occur in medical studies among others. For this, as in the case of univariate failure time data, exponential and Weibull models are probably the most commonly used ones. However, it is surprising that there seem...

No, not really. In response to concerns about the reliability of SVARs, one proposal has been to combine OLS estimates of a VAR with non-parametric estimates of the spectral density. But as shown here, spectral estimators are no panacea for implementing long-run restrictions. They can suffer...