This paper considers a panel data model with time-varying individual effects. The data are assumed to contain a large number of cross-sectional units repeatedly observed over a fixed number of time periods. The model has a feature of the fixed-effects model in that the effects are assumed to be...

We wish to test whether technical inefficiency depends on observable characteristics of the firm. We consider a two-step procedure in which the second step is a regression of estimated inefficiency on firm characteristics. A valid test of the hypothesis of no effect requires an adjustment to the...

This paper appliesa large number of models to three previously-analyzed data sets,and compares the point estimates and confidence intervals fortechnical efficiency levels. Classical procedures include multiplecomparisons with the best, based on the fixed effects estimates;a univariate version,...

This short paper examines the nonlinear interaction between mutual fund flows and stock returns in Greece. We investigate the possibility of a nonlinear causality mechanism through which mutual funds flows may affect stock returns and vice versa. The statistical evidence derived from linear and...

This short paper examines the nonlinear interaction between mutual fund flows and stock returns in Greece. We investigate the possibility of a nonlinear causality mechanism through which mutual funds flows may affect stock returns and vice versa. The statistical evidence derived from linear and...