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Conducting inference in semiparametric duration models under inequality restr...
Using a four-month panel of revised Current Population Survey data from September-December 1993, we extend the class of semiparametric hazard models of the type first studied by... -
Adaptive estimation of cointegrated models: simulation evidence and an applic...
The paper reports simulation and empirical evidence on the finite-sample performance of adaptive estimators in cointegrated systems. Adaptive estimators are asymptotically... -
Estimating the LQAC model with I(2) variables (replication data)
This paper derives a method for estimating and testing the Linear Quadratic Adjustment Cost (LQAC) model when the target variable and some of the forcing variables follow I(2)... -
A non-linear filtering approach to stochastic volatility models with an appli...
This paper develops a new model for the analysis of stochastic volatility (SV) models. Since volatility is a latent variable in SV models, it is difficult to evaluate the exact...
