Recently financial econometricians have shifted their attention from point and interval forecasts to density forecasts mainly to address the issue of the huge loss of information that results from depicting portfolio risk by a measure of dispersion alone. One of the major problems in this area...

No abstract.

We construct the optimal regulation contract between a risk-averse principal, such as a small municipality, and a risk-neutral private ''public service'' operator, such as a large multinational firm. With adverse selection, moral hazard and socially costly transfers, we show that the more...

In a simultaneous equations with error components framework, we analyze the institutions-growth relationship. We address individual heterogeneity in cross-country production functions, and endogeneize factor inputs in order to disentangle the direct and indirect effects of institutions on...

In this paper we analyze GMM with semi-weak instruments. This case includes the standard GMM and the nearly-weak GMM. In the nearly-weak GMM the correlation between the instruments and the first order conditions decline at a slower rate than root T. We find an important difference between the...

Using density forecasts, we compare the predictive performance of duration models that have been developed for modelling intra-day data on stock markets. The compared models are the autoregressive conditional duration (ACD) models, their logarithmic versions, in each case with three...

Consumer demand for rail transportation has traditionally been analyzed by means of aggregate demand systems and disaggregate discrete choice models. It is remarkable however that no serious efforts have been made to develop a disaggregate structural demand model, which takes account of the fact...

This paper addresses the question of how to model individual behavior in the face of changes in the set of rules that govern the social welfare system in Sweden. To this end, the Swedish sickness insurance provides an excellent study object, since the system has often been changed during the...

In several markets consumers can only gain further information regarding about how well a product fits their preferences by experiencing it after the purchase. Furthermore, while some consumers may have a better fit with one given product, other consumers may end up appreciating more another...

No abstract.