-
Dynamic stochastic copula models: estimation, inference and applications (rep...
We propose a new dynamic copula model in which the parameter characterizing dependence follows an autoregressive process. As this model class includes the Gaussian copula with... -
A bivariate count data model for household tourism demand (replication data)
Households' choice of the number of leisure trips and the total number of overnight stays is empirically studied using Swedish tourism data. A bivariate hurdle approach... -
More powerful panel data unit root tests with an application to mean reversio...
Unit root tests, seeking mean or trend reversion, are frequently applied to panel data. We show that more powerful variants of commonly applied tests are readily available.... -
Time-varying intercepts and equilibrium analysis: an extension of the dynamic...
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... -
Asymmetry in first-price auctions with affiliated private values (replication...
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... -
Stochastic frontier models with random coefficients (replication data)
The paper proposes a stochastic frontier model with random coefficients to separate technical inefficiency from technological differences across firms, and free the frontier... -
Using R to teach econometrics (replication data)
R, an open-source programming environment for data analysis and graphics, has in only a decade grown to become a de-facto standard for statistical analysis against which many... -
Modelling the trend and seasonals within an AIDS model of the demand for alco...
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... -
The effect of physician advice on alcohol consumption: count regression with ...
Although there are encouraging trends, alcohol abuse continues to be a significant public health problem. Econometric studies of alcohol demand have yielded a great deal of... -
Testing of seasonal fractional integration in UK and Japanese consumption and...
The seasonal structure of quarterly UK and Japanese consumption and income is examined by means of fractionally based tests proposed by Robinson (1994). These series were... -
Modelling the conditional volatility of commodity index futures as a regime s...
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... -
Autoregressive conditional heteroscedasticity in commodity spot prices (repli...
Muth's (1961) rational expectations model of commodity markets implies that inventory carryover creates ARCH processes in prices. The model also indicates that the expected... -
Real exchange rate behaviour: evidence from black markets (replication data)
The behaviour of real exchange rates (relative to the US dollar) is examined using monthly data obtained from the black markets for foreign exchange of eight Asian developing... -
An empirical analysis of alternative parametric ARCH models (replication data)
This paper presents empirical evidence on the effectiveness of eight different parametric ARCH models in describing daily stock returns. Twenty-seven years of UK daily data on a... -
Detecting periodically collapsing bubbles: a Markov-switching unit root test ...
This paper addresses the problem of testing for the presence of a stochastic bubble in a time series in the case that the bubble is periodically collapsing so that the asset... -
The time-varying behaviour of real interest rates: a re-evaluation of the rec...
A time-varying parameter model with Markov-switching conditional heteroscedasticity is employed to investigate two sources of shifts in real interest rates: (1) shifts in the... -
Whose wages do unions raise? A dynamic model of unionism and wage rate determ...
We estimate the union premium for young men over a period of declining unionization (1980-87) through a procedure which identifies the alternative sources of the endogeneity of... -
Bayesian inference for periodic regime-switching models (replication data)
We present a general class of nonlinear time-series Markov regime-switching models for seasonal data which may exhibit periodic features in the hidden Markov process as well as... -
Testing non-nested semiparametric models: an application to Engel curves spec...
This paper proposes a test statistic for discriminating between two partly non-linear regression models whose parametric components are non-nested. The statistic has the form of... -
STATISTICAL INFERENCE VIA BOOTSTRAPPING FOR MEASURES OF INEQUALITY (replicati...
In this paper we consider the use of bootstrap methods to compute interval estimates and perform hypothesis tests for decomposable measures of economic inequality. Two...
