In the single-IV model, researchers commonly rely on t-ratio-based inference, even though literature has quantified its potentially severe large-sample distortions. Building Stock and Yogo (2005), we introduce tF critical value function, leading to a standard error adjustment that is smooth function of first-stage F-statistic. For one-quarter specifications in 61 AER papers, corrected errors ar...

This Paper describes a procedure for constructing theory restricted prior distributions for BVAR models. The Bayes Factor, which is obtained without any additional computational effort, can be used to assess the plausibility of the restrictions imposed on the VAR parameter vector by competing DSGE models. In other words, it is possible to rank the amount of abstraction implied by each DSGE mode...

We derive a closed form expression for the asymptotic distribution of the LIML estimator for the coefficients of both endogenous and exogenous variables in a partially identified linear structural equation. We extend previous results of Phillips (1989) and Choi and Phillips (1992) where the focus was on IV estimators. We show that partial failure of identification affects the LIML in that its m...

The paper suggests a CUSUM-type test for time-varying parameters in a recently proposed spatial autoregressive model for stock returns and derives its asymptotic null distribution as well as local power properties. As can be seen from Euro Stoxx 50 returns, a combination of spatial modelling and change point tests allows for superior risk forecasts in portfolio management. JEL Classification: C...

Canonical Correlation and Assortative Matching: A Remark In the context of the Beckerian theory of marriage, when men and women match on a singledimensional index that is the weighted sum of their respective multivariate attributes, many papers in the literature have used linear canonical correlation, and related techniques, in order to estimate these weights. We argue that this estimation tech...

We develop a selective entry model for first-price auctions that nests several models earlier proposed in the literature, and features a pro-competitive selection effect. The selection effect is shown to be nonparametrically identifiable, and a nonparametric test for its presence is proposed. In the empirical application to highway procurement, we find that the selection effect overwhelms the a...

In this paper we explore the application of structured additive distributional regression for the analysis of conditional income distributions in Germany following the reunification. Using a bootstrapped Kolmogorov-Smirnov test we find that conditional personal income distributions can generally be modelled using the three parameter Dagum distribution. Additionally our results hint at an even m...

Gender Patterns in Vietnam’s Child Mortality We analyze child mortality in Vietnam focusing on gender aspects. Contrary to several other countries in the region, mortality rates for boys are substantially larger than for girls. A large rural-urban mortality difference exists, but much more so for boys than for girls. A higher education level of the mother reduces mortality risk, but the effect ...

A finite probability mixture model is combined with a contingent valuation model to analyze the existence of differential market segments in a hypothetical market. The approach has at least two principle benefits. First, the model is capable of identifying market segments within the hypothetical market. Second, the model can be used to estimate WTP/WTA within each segment. The model is illustra...