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Exponent of Cross-Sectional Dependence: Estimation and Inference (replication...
This paper provides a characterisation of the degree of cross-sectional dependence in a two dimensional array, {xit,i = 1,2,...N;t = 1,2,...,T} in terms of the rate at which the... -
Random Recursive Partitioning: a matching method for the estimation of the av...
In this paper we introduce the Random Recursive Partitioning (RRP) matching method. RRP generates a proximity matrix which might be useful in econometric applications like... -
Identification of parameters in normal error component logit-mixture (NECLM) ...
Although the basic structure of logit-mixture models is well understood, important identification and normalization issues often get overlooked. This paper addresses issues... -
Small-sample confidence intervals for multivariate impulse response functions...
Existing methods for constructing confidence bands for multivariate impulse response functions may have poor coverage at long lead times when variables are highly persistent.... -
COUNT DATA REGRESSION USING SERIES EXPANSIONS: WITH APPLICATIONS (replication...
A new class of parametric regression models for both under? and overdispersed count data is proposed. These models are based on squared polynomial expansions around a Poisson... -
FEASIBLE CROSS-VALIDATORY MODEL SELECTION FOR GENERAL STATIONARY PROCESSES (r...
Cross-validation is a method used to estimate the expected prediction error of a model. Such estimates may be of interest in themselves, but their use for model selection is... -
Numerical distribution functions for unit root and cointegration tests (repli...
This paper employs response surface regressions based on simulation experiments to calculate distribution functions for some well-known unit root and cointegration test... -
Analytic derivatives and the computation of GARCH estimates (replication data)
In the context of univariate GARCH models we show how analytic first and second derivatives of the log-likelihood can be successfully employed for estimation purposes. Maximum... -
On the estimation of simultaneous-equations error-components models with an a...
An empirical balance of payments model involving the demand and supply of imports and exports for 31 developing countries is estimated utilizing panel data over 1964-1987. In...
