High nonresponse rates have become a rule in survey sampling. In panel surveys there occur additional sample losses due to panel attrition, which are thought to worsen the bias resulting from initial nonresponse. However, under certain conditions an initial wave nonresponse bias may vanish in...

Earlier studies which applied the family of stable Paretian distributions to financial data are inconclusive and contradictory. In this article I estimate the parameters of the model by the Feuerverger-McDunnough method which enables the application of maximum likelihood rhethods. Based on...

In this paper we ‘update’ the option implied probability of default (option iPoD) approach recently suggested in the literature. First, a numerically more stable objective function for the estimation of the risk neutral density is derived whose integrals can be solved analytically. Second,...

We discuss important properties and pitfalls of panel-data event study designs. We derive three main results. First, binning of effect window endpoints is a practical necessity and key for identification of dynamic treatment effects. Second, event study designs with binned endpoints and...

This article presents a computationally efficient approach to sample from Gaussian state space models. The method is an instance of precision-based sampling methods that operate on the inverse variance-covariance matrix of the states (also known as precision). The novelty is to handle cases...