185 datasets found

This paper compares the performance of eight frequently used flexible forms that are either (1) locally flexible, (2) effectively globally regular, or (3) asymptotically...

Commodity index futures offer a versatile tool for gaining different forms of exposure to commodity markets. Volatility is a critical input in many of these applications. This...

In this paper we reconsider an error-correction model of UK broad money demand by Ericsson, Hendry and Prestwich. Their model is non-linear in both variables and parameters, and...

The relationship between Unemployment Insurance (UI) benefit duration, unemployment duration and subsequent job duration is investigated using a multi-state duration model with...

In this paper, we propose a model of income dynamics which takes account of mobility both within and between jobs. The model is a hybrid of the mover-stayer model of income...

Using both semiparametric and parametric estimation methods, this paper corroborates earlier findings of fractionally integrated behaviour in the forward premium. Two new...

The increasing availability of customer-level data and the willingness of marketers to customize the timing of their offers to consumers makes the accurate segment-level...

The argument that is put forward in this paper is that failure to represent stochastic trend and stochastic seasonality in an AIDS model leads to a misspecified and possibly...

We study the relationship between wealth and labour market transitions. A lifecycle model, in which individuals are faced by uncertainty about the availability of jobs, serves...

We develop new tests of the capital asset pricing model that take account of and are valid under the assumption that the distribution generating returns is elliptically...

An Erratum for this article has been published in Journal of Applied Econometrics 18(2) 2003, 249 Previous empirical work on corporate growth rates using cross-section or...

This paper studies the empirical relevance of precautionary and other motives for household portfolio behaviour using recent panel data from the Netherlands. Dutch households'...

Bull and bear markets are a common way of describing cycles in equity prices. To fully describe such cycles one would need to know the data generating process (DGP) for equity...

Collusion and heterogeneity across firms may introduce asymmetry in bidding games. A major difficulty in asymmetric auctions is that the Bayesian Nash equilibrium strategies are...

Demographic effects and user costs in demand systems have usually been modelled explicitly. A more robust approach is a state space formulation of the demand system, where...

A panel of households is used to test the rational addiction model of Becker et al. (1994). These data raise problems of measurement errors, censoring, and unobservable...

Past parametric tests of demand system rank employed polynomial Engel curve systems. However, by Gorman's (1981) theorem, the maximum possible rank of a utility-derived...

We consider a class of household production models characterized by a dichotomy property. In these models the amount of time spent on household production does not depend on the...

Based on intergenerational data from the Panel Study of Income Dynamics, I provide estimates of income mobility across generations for men. Special attention is paid to issues...

Using data from both the National Longitudinal Survey of Youth (NLSY) and High School and Beyond (HSB), we investigate if public high schools differ in the production of...