15 datasets found

In this paper we propose a Bayesian econometric procedure for the evaluation and comparison of DSGE models. Unlike in many previous econometric approaches we explicitly take...

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...

Recent work by the author on methods of spatial density analysis for time series data with stochastic trends is reviewed. The methods are extended to include processes with...

Based on data from the 1988 Alcohol Supplement of the National Health Interview Survey, Mullahy and Sindelar (1996) (M&S) find, for both men and women, that alcohol abuse...

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...

Under the Maastricht Treaty and the Stability and Growth Pact (SGP), European Union (EU) Member States commit themselves to avoid excessive deficits over 3% of GDP and to pursue...

This paper presents estimates of a dynamic individual-level model of cannabis consumption, using data from a 1998 survey of young people in Britain. The econometric model is a...

We examine the determinants of low income transitions using first-order Markov models that control for initial conditions effects (those found to be poor in the base year may be...

The classical approach to testing for structural change employs retrospective tests using a historical data set of a given length. Here we consider a wide array of...

In commodity futures markets, contracts with various delivery dates trade simultaneously. Applied researchers typically discard the majority of the data and form a single time...

This study investigates the pattern of knowledge spillovers arising from patent activity between European regions. A Bayesian hierarchical model is developed that specifies...

We define a bivariate mixture model to test whether economic growth can be considered exogenous in the Solovian sense. For this purpose, the multivariate mixture approach...

The workhorse brand choice models in marketing are the multinomial logit (MNL) and nested multinomial logit (NMNL). These models place strong restrictions on how brand share and...

A review of the econometric literature on instrumental variables (IV) estimation shows that the performance of traditional IV estimation relies critically on the quality of the...

We collect experimental choice data and estimate preferences for mobile phones with a special focus on measuring consumer price evaluations when consumers face difficult choice...