We show that a sufficient condition for the identification ofall parameters of the censored regression model with astochastic and unobserved threshold is that the errors are jointlynormally distributed. Exclusion restrictions are not needed.

The distribution of a functional of two correlated vector Brownian motions isapproximated by a Gamma distribution. This functional represents the limiting distribution for cointegration tests with stationary exogenous regressors, but also for cointegration tests based on a non-Gaussian...

Motivated by the problem of setting prediction intervals in time seriesanalysis, this investigation is concerned with recovering a regression functionm(X_t) on the basis of noisy observations taking at random design pointsX_t.It is presumed that the corresponding observations are corrupted by...

Most of the available monthly interest data series consist of monthlyaverages of daily observations. It is well-known that this averaging introduces spurious autocorrelation effectsin the first differences of the series. It isexactly this differenced series we are interested in when...

In observational studies the overall aim when fitting a model for the propensity score is to reduce bias for an estimator of the causal effect. For this purpose guidelines for covariate selection for propensity score models have been proposed in the causal inference literature. To make the...

When a survey response mechanism depends on the variable of interest measured within the same survey and observed for only part of the sample, the situation is one of nonignorable nonresponse. Ignoring the nonresponse is likely to generate significant bias in the estimates. To solve this, one...

This paper focuses on the extraction of volatility of financial returns. The volatility process is modeled as a superposition of two autoregressive processes which represent the more persistent factor and the quickly mean-reverting factor. As the volatility is not observable, the logarithm of...

Cost of equity is crucial information that enters business valuation. Yet, even after decades of academic research, consensus has not been reached regarding the appropriate cost of equity estimation. The aim of our paper is to investigate the cost of equity estimation in practice. In other...

In this paper we study the finite sample behavior of the Hill estimator under α-stable distributions. Using large Monte Carlo simulations we show that the Hill estimator overestimates the true tail exponent and can hardly be used on samples with small length. Utilizing our results, we introduce...

We have received a number of queries recently from market researchers concerning our methods in order to determine the underlying wage process, with particular regard to the correction of whitening. The whitening estimation methods we have developed have been described in outline in the boxed...