In recent years, analysis of financial time series has focused largely on data related to market trading activity. Apart from modelling the conditional variance of returns within the GARCH family of models, presently attention has also been devoted to other market variables, especially volumes,...

While many previous studies on temporary work have found disadvantages for temporary workers as compared to workers with a permanent contract, this study compares temporary work to the alternative of unemployment. Specifically, this paper investigates the potential integrative power of taking up...

The paper is concerned with the analysis of strike data in which the distribution of short strikes differs from that of long strikes. It appears through visual inspection and asymptotic prodecures that for Israeli strikers in the years 1965-1992, the hazard function is exponential for strikes...

This paper proposes a simple and improved nonparametric unit-root test. An asymptotic distribution of the proposed test is established. Finite sample comparisons with an existing nonparametric test are discussed. Some issues about possible extensions are outlined.

This paper applies semiparametric regression models to shed light on the relation-ship between body weight and labor market outcomes in Germany. We find conclusive evidence that these relationships are poorly described by linear or quadratic OLS specifications, which have been the main...

The effects of childbirth on future labor market outcomes are a key issue for policy discussion. This paper implements a dynamic treatment approach to estimate the effect of having the first child now versus later on future employment for the case of Germany, a country with a long maternity...

Estimation of unknown parameters and functions involved in complex nonlinear econometric models is a very important issue. Existing estimation methods include generalised method of moments (GMM) by Hansen (1982) and others, efficient method of moments (EMM) by Gallant and Tauchen (1997), Markov...

Bandwidth plays an important role in determining the performance of nonparametric estimators, such as the local constant estimator. In this paper, we propose a Bayesian approach to bandwidth estimation for local constant estimators of time-varying coefficients in time series models. We establish...

Statistical models can play a crucial role in decision making. Traditional model validation tests typically make restrictive parametric assumptions about the model under the null and the alternative hypotheses. The majority of these tests examine one type of change at a time. This paper presents...

A partially linear model is often estimated in a two-stage procedure, which involves estimating the nonlinear component conditional on initially estimated linear coefficients. We propose a sampling procedure that aims to simultaneously estimate the linear coefficients and bandwidths involved in...