Following the seminal paper by Altonji and Segal (1996), empirical studies have widely embraced equal or diagonal weighting in minimum distance estimation to mitigate the finite-sample bias caused by sampling errors in the weighting matrix. This paper introduces a new weighting scheme that...

Common ordinal models, including the ordered logit model and the continuation ratio model, are structured by a common score (i.e., a linear combination of a list of given explanatory variables) plus rank specific intercepts. Sensitivity with respect to the common score is generally not...

Two negative binomial quasi-maximum likelihood estimates (NB-QMLE's) for a general class of count time series models are proposed. The first one is the profile NB-QMLE calculated while arbitrarily fixing the dispersion parameter of the negative binomial likelihood. The second one, termed...

In this paper we show that the exchange rates of some commodity exporter countries have the ability to predict the price of spot and future contracts of aluminum. This is shown with both in-sample and out-of-sample analyses. The theoretical underpinning of these results relies on the...

Two negative binomial quasi-maximum likelihood estimates (NB-QMLE's) for a general class of count time series models are proposed. The first one is the profile NB-QMLE calculated while arbitrarily fixing the dispersion parameter of the negative binomial likelihood. The second one, termed...

The Constant Elasticity of Substitution (CES) function is popular in several areas of economics, but it is rarely used in econometric analysis because it cannot be estimated by standard linear regression techniques. We discuss several existing approaches and propose a new grid-search approach...

The Constant Elasticity of Substitution (CES) function is popular in several areas of economics, but it is rarely used in econometric analysis because it cannot be estimated by standard linear regression techniques. We discuss several existing approaches and propose a new grid-search approach...

Econometric standard practice in model building and selection operates under the null hypothesis statistical testing (NHST) paradigm. We show why the information-theoretic (IT) paradigm is more appropriate for econometrics, and follow up with a survey of all papers published in the period 2000...

The procedure set for mediation analysis in the Baron and Kenny's (1986) classical research article did not go without criticism (MacKinnon and Fairchild, 2009; Hayes, 2009; Bullock, Green, & Ha, 2010; Zhao, Lynch and Chen, 2010), and thanks to those critics, that Kenny (2012) had to bring a number of...