We compare the performance of maximum likelihood (ML) and simulated method of moments (SMM) estimation for dynamic discrete choice models. We construct and estimate a simplified dynamic structural model of education that captures some basic features of educational choices in the United States in...

This paper proposes maximum likelihood estimators for panel seemingly unrelated regressions with both spatial lag and spatial error components. We study the general case where spatial effects are incorporated via spatial errors terms and via a spatial lag dependent variable and where the...

This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to Sharpe (1964) and Lintner (1965), when the number of securities, N, is large relative to the time dimension, T, of the return series. In the case of cross-sectionally correlated...

This paper considers a multivariate t version of the Gaussian dynamic conditional correlation (DCC) model proposed by Engle (2002), and suggests the use of devolatized returns computed as returns standardized by realized volatilities rather than by GARCH type volatility estimates. The t-DCC...

We propose a specification test for a wide range of parametric models for the conditional distribution function of an outcome variable given a vector of covariates. The test is based on the Cramer-von Mises distance between an unrestricted estimate of the joint distribution function of the data,...

There is no significant relationship between the improvement in happiness and the long term rate of growth of GDP per capita. This is true for three groups of countries analyzed separately - 17 developed, 9 developing, and 11 transition - and also for the 37 countries taken together. Time series...

We present in this paper the panel econometrics estimation approach of measuring the technical change and total factor productivity (TFP) growth of 30 Chinese provinces during the period of 1993 to 2003. The random effects model with heteroscedastic variances has been used for the estimation of...

An important issue in the analysis of cross-sectional dependence which has received renewed interest in the past few years is the need for a better understanding of the extent and nature of such cross dependencies. In this paper we focus on measures of cross-sectional dependence and how such...

This paper establishes stylized facts about the cyclicality of real consumer wages and real producer wages in Germany. As detrending methods we apply the deterministic trend model, the Beveridge-Nelson decomposition, the Hodrick-Prescott filter, the Baxter-King filter and the structural time...

The UK's Equal Opportunities Commission has recently drawn attention to the 'hidden brain drain' when women working part-time are employed in occupations below those for which they are qualified. These inferences were based on self - reporting. We give an objective and quantitative analysis of...