This paper documents the convergence of incomes across Indian states over the period 1965 to 1998. It departs from traditional analyses of convergence by tracking the evolution of the entire income distribution, instead of standard regression and time series analyses. The findings reveal...

Equilibrium models have been proposed in literature with the aim of describing the evolution of the price of emission permits. This paper derives first a reducedform model from an equilibrium model and thereby explains how existing reducedform models are related to equilibrium models. Second, by...

This note provides a simple exposition of what IV can and cannot estimate in a model with a binary treatment variable and heterogeneous treatment effects. It shows how linear IV is a misspecification of functional form and the reason why linear IV estimates for this model will always depend on...

In this paper, we obtain the density function of the single barrier one-sided Parisian stopping time. The problem reduces to that of solving a Volterra integral equation of the first kind, where a recursive solution is consequently obtained. The advantage of this new method as compared to that...

We propose to model multivariate volatility processes on the basis of the newly defined conditionally uncorrelated components (CUCs). This model represents a parsimonious representation for matrix-valued processes. It is flexible in the sense that each CUC may be fitted separately with any...

We suggest two improved methods for conditional density estimation. The rst is based on locally tting a log-linear model, and is in the spirit of recent work on locally parametric techniques in density estimation. The second method is a constrained local polynomial estimator. Both methods always...

Typically, in many studies in ecology, epidemiology, biomedicine and others, we are confronted with panels of short time–series of which we are interested in obtaining a biologically meaningful grouping. Here, we propose a bootstrap approach to test whether the regression functions or the...

To measure income inequality with right-censored (top-coded) data, we propose multiple-imputation methods for estimation and inference. Censored observations are multiply imputed using draws from a flexible parametric model fitted to the censored distribution, yielding a partially synthetic data...

Motivated by the problem of selecting representative portfolios for backtesting counterparty credit risks, we propose a matching quantiles estimation (MQE) method for matching a target distribution by that of a linear combination of a set of random variables. An iterative procedure based on the...

An accuracy indicator is an observed variable which is related to the size of measurement error. Basic and extended models are introduced to represent the properties of a binary accuracy indicator. Under specified assumptions, it is shown that an accuracy indicator can identify a measurement...