This paper describes a simple method of calculating a heteroskedasticity and autocorrelation consistent covariance matrix that is positive semi-definite by construction. It also establishes consistency of the estimated covariance matrix under fairly general conditions. (This abstract was...

In this paper, we examine nonlinear interrelationship between energy consumption and output level for a panel of G7 countries. For this purpose, we propose a nonlinear cointegration test in heterogeneous panels for testing the presence of a co-integrating relationship that follows a globally...

The problem of testing the hypothesis of stochastic nonstationarity (structural changes, unit roots) in univariate time series is studied in the paper. A new method of distinguishing between hypotheses of an unknown point of structural break and a unit root is proposed and its properties in the...

In literature there is no single answer to the question, whether the growth of imports in industry leads to decrease or to increase the technical efficiency: possible effect of different mechanisms. In this paper we estimate the stochastic production frontier using firm-level data for food...

This paper provides a brief review of the current state of knowledge on the topic of weakly-identified instrumental variable regression. We describe the essence of the problem of weak identification, possible methods for detecting it in applied work as well as methods robust to weak...

Are firms that make investments in fixed assets more efficient? Can fixed capital investments contribute to the improvement of a firm’s production technologies? In this paper we estimate the stochastic production frontier using firm-level data for food industry in 2003–2010, taking into...

Empirical/statistical analysis of effects of changes in index S&P 500 upon inflation processes in American economy in the years 1951–2009 is given. It is shown there is a statistically significant difference in CPI changes dependent on positive (negative) dynamics of index S&P 500 ones

The paper presents the research results on detection of structural breaks in copula models of multivariate time-series. A nonparametric method of structural break identification and estimation is used and its asymptotic characteristics (probabilities of the I and II-type errors, probability of...

This study is aimed at creation of the macroeconometric models of the key macro-indices of the national economics of Russia and Armenia: GDP, inflation, export and import, the average wage, etc. The choice of predictors of these models is made according to findings from theoretical models...

Sample selection bias as a specification error This paper discusses the bias that results from using non-randomly selected samples to estimate behavioral relationships as an ordinary specification error or «omitted variables» bias. A simple consistent two stage estimator is considered that...