This paper aims to study whether a simple asymetric adjustment costs model with heterogeneity can account for French aggregate job flows.

This paper complements the results of Hausman and Taylor (1981) and Cornewell, Schmidt and Sickles (1990) and generalizes Park and Simar (1994) by examining the semiparametric efficient estimation of panel models in which the random effects and the regressors have certain patterns of correlation.

Efficiency scores of production units are measured by their distance to an estimated production forntier. Nonparametric DEA estimators are based on a finit sample of observed production units and radial distances are considered. We investigate the consistency and the speed of convergence of...

While stochastic dominance has been employed in various forms, it has been (since 1969-1970) developed and extensively employed in the area of economics, finance and operations research. In this study the first, second and third order stochastic dominance rules are discussed for ranking...

Recent works on aggregate job flows in the US economy indicate that (i) specific sectoral shocks are important to account for aggregate job flows dynamics and that (ii) aggregate creation and destruction dynamics display significant non-linearities. This paper aims to study whether a simple...

This paper first provides some useful results on a generalized random coefficient autoregressive model and a Markov plus i.i.d. noise model. These results simultaneously imply strict staionarity, existence of higher-order moments, goemetric ergodicity and b-mixing with exponential decay rates,...

In the paper we consider the role of seasonal intercepts in seasonal cointegration analysis.

The classical definition of GARCH-type processes rely on strong assumptions on the first two conditional moments. The common practice in empirical studies, however, has been to test for GARCH by detecting serial correlations in the squared regression errors. This can be problematic since such...

The paper contributes to the stochastic volatility literature by developing simulation schemes for the conditional distributions of the price of long term bonds and their variability based on non-standard distributional assumptions and volatility concepts; it illustrates the potential value of...