The fixed effects (FE) panel model is one of the main econometric tools in empirical economic research. A major practical limitation is that the parameters on time-constant covariates are not identifiable. This paper presents a new approach to grouping FE in the linear panel model to reduce...

The paper analyses the potential impact of stock market developments on lending behaviour from different perspectives. First we scrutinize the impact of stock market movements on the banks’ and on the borrowers’ balance sheets. Subsequently we estimate aggregate credit supply and demand...

In many econometric applications it is unclear from the very beginning whether a parametric functional of a continuous regressor should be specified as a linear, as a higher order polynomial or as a piecewise linear. Nonparametric estimators can provide relevant information as they are a...

The Box-Cox quantile regression model using the two stage method suggested by Chamberlain (1994) and Buchinsky (1995) provides a flexible and numerically attractive extension of linear quantile regression techniques. However, the objective function in stage two of the method may not exists. We...

We consider the semiparametric generalised linear regression model which has mainstream empirical models such as the (partially) linear mean regression, logistic and multinomial regression as special cases. As an extension to related literature we allow a misclassified covariate to be interacted...

We consider a dependent competing risks model with many risks and many covariates. We show identifiability of the marginal distributions of latent variables for a given dependence structure. Instead of directly estimating these distributions, we suggest a plug-in regression framework for the...

We consider an extension of conventional univariate Kaplan-Meier type estimators for the hazard rate and the survivor function to multivariate censored data with a censored random regressor. It is an Akritas (1994) type estimator which adapts the nonparametric conditional hazard rate estimator...

The Box-Cox quantile regression model using the two stage method introduced by Chamberlain (1994) and Buchinsky (1995) provides an attractive extension of linear quantile regression techniques. However, a major numerical problem exists when implementing this method which has not been addressed...