The contingency table literature on tests for dependence among discrete multi-category variables is extensive. Existing tests assume, however, that draws are independent, and there are no tests that account for serial dependencies - a problem that is particularly important in economics and...

This paper extends the cross sectionally augmented panel unit root test proposed byPesaran (2007) to the case of a multifactor error structure. The basic idea is to exploitinformation regarding the unobserved factors that are shared by other time series in additionto the variable under...

This paper extends the cross sectionally augmented panel unit root test proposed by Pesaran (2007) to the case of a multifactor error structure. The basic idea is to exploit information regarding the unobserved factors that are shared by other time series in addition to the variable under...

The contingency table literature on tests for dependence among discrete multi-category variables is extensive. Existing tests assume, however, that draws are independent, and there are no tests that account for serial dependencies - a problem that is particularly important in economics and...

This paper extends the cross sectionally augmented panel unit root test proposed by Pesaran (2007) to the case of a multifactor error structure. The basic idea is to exploit information regarding the unobserved factors that are shared by other time series in addition to the variable under...

This note gives a fairly complete statistical description of the Hodrick-Prescott Filter (1997) which has been proposed in the context of my seasonal adjustment method (Schlicht 1981, 1984). A statistics estimator for the smoothing parameter is proposed that is asymptotically equivalent to the...

In this paper we perform inference on the effect of a treatment on survival times in studies where the treatment assignment is not randomized and the assignment time is not known in advance. Two such studies are discussed: a heart transplant program and a study of Swedish unemployed eligible for...

This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to Sharpe (1964) and Lintner (1965), when the number of securities, N, is large relative to the time dimension, T, of the return series. In the case of cross-sectionally correlated...

This paper examines the possibility of unit roots in the presence of endogenously determined multiple structural breaks in the total, female and male labour force participation rates (LFPR) for Australia, Canada and the USA. We extend the procedure of Gil-Alana (2008) for single structural break...

Researchers are often interested in estimating the causal effect of some treatment on individual criminality. For example, two recent relatively prominent papers have attempted to estimate the respective direct effects of marriage and gang participation on individual criminal activity. One...