This paper proposes a robust estimator for a general class of linear latent variable models (GLLVM) (Moustaki and Knott 2000, Bartholomew and Knott 1999). It is based on a weighted score function that is simple to implement numerically and is made consistent using the basic idea of indirect...

In this paper robust statistical procedures are presented for the analysis of skewed and heavy-tailed outcomes as they typically occur in health care data. The new estimators and test statistics are extensions of classical maximum likelihood techniques for generalized linear models. In contrast...

Procedures based on the Generalized Method of Moments (GMM) (Hansen, 1982) are basic tools in modern econometrics. In most cases, the theory available for making inference with these procedures is based on first order asymptotic theory. It is well-known that the (first order) asymptotic...

This paper applies Granger causality tests to Swiss Cantonal Revenue and Expenditure in levels. It is the first study for Switzerland at the individual regional level and on the basis of vector error correction models distinguishing between long-term and short-term causality. The long-term...

We adapt Breiman's (1995) nonnegative garrote method to perform variable selection in nonparametric additive models. The technique avoids methods of testing for which no reliable distributional theory is available. In addition it removes the need for a full search of all possible models,...

The paper establishes a unified representation theorem for (co)integrated processes up to the second order which provides a compact and informative insight into the solution of VAR models with unit roots, and sheds light on the cointegration features of the engendered processes. The theorem is...

Dynamic economic models usually describe the path of economic variables as prices, consumption or capital at equilibrium. The most popular models assume that agents have perfect foresight. Implicitly this assumption requires that agents can compute the complete infinite path, an exercise that...

This paper studies the local robustness of estimators and tests for the conditional location and scale parameters in a strictly stationary time series model. We first derive optimal bounded-influence estimators for such settings under a conditionally Gaussian reference model. Based on these...

This paper proposes a simple procedure to test the hypothesis of no cointegration against both threshold cointegration and an intermediate possibility that we call partial cointegration. Asymptotic theory is devel- oped, the power of the proposed test is analysed through simulations and an...