We study regime-specific systematic comovement between two large panels of variables that exhibit an approximate factor structure. Within each panel we identify threshold-type regimes through shifts in the factor loadings. For the resulting regimes, and with regard to the relation between any...

This paper uses wavelet theory to propose a frequency domain nonparametric and tuning parameter free family of unit root tests indexed by the fractional parameter d. The proposed test exploits the wavelet power spectrum of the observed series and its fractional partial sum to construct a test of...

This article addresses unit root testing on regulated series through the variance ratio (VR) statistic of Nielsen (2009). The asymptotic distribution of the regulated VR statistic is developed with and without OLS detrending. Results of Cavaliere and Xu (2011) are extended by also developing the...

In 2005, the Indian Government launched a conditional cash-incentive program to encourage institutional delivery. This paper studies the effects of the program on neonatal mortality using district-level household survey data. We model mortality using survival analysis, paying special attention...

This paper presents evidence of the combined effect of financial constraints and attitudes towards risk in corporate investment. Using panel data on public companies functioning in developed countries, the author shows that demand uncertainty provokes a firm with limited resources to invest...

In 2005, the Indian Government launched a conditional cash-incentive program to encourage institutional delivery. This paper studies the effects of the program on neonatal mortality using district-level household survey data. We model mortality using survival analysis, paying special attention...

This paper examines inefficiencies of Bangladesh banking industry using the stochastic frontier production function model and the time invariant cross-sectional data. The measure of ith bank technical efficiency indicates that the efficiency of Bangladesh commercial banks lies between 12.7 and...

Der Beitrag gibt einen Überblick über neuere Entwicklungen bei Schätzmethoden, Instrumentalvariablenansätzen, Paneldatenmodellen sowie nicht- und semiparametrischen Modellen für Mikrodaten, ergänzt um einige Testverfahren aus diesen Bereichen. Besondere Aufmerksamkeit wird auf Probleme mit...

We deal with two kinds of Cox regression models with varying coefficients. The coefficients vary with time in one model. In the other model, there is an important random variable called an index variable and the coefficients vary with the variable. In both models, we have p-dimensional...

We consider identification and estimation of nonseparable sample selection models with censored selection rules. We employ a control function approach and discuss different objects of interest based on (1) local effects conditional on the control function, and (2) global effects obtained from...