This paper is concerned with tests and con…dence intervals for parameters that are not necessarily identi…ed and are de…ned by moment inequalities. In the literature, di¤erent test statistics, critical value methods, and implementation methods (i.e., the asymptotic distribution versus the bootstrap) have been proposed. In this paper, we compare these methods. We provide a recommended test stati...

We propose a Vuong (1989)-type model selection test for models defined by conditional moment restrictions. The moment restrictions can be standard equality restrictions that point identify the model parameters, or moment equality or inequality restrictions that partially identify the model parameters. The test uses a new average generalized empirical likelihood criterion function designed to in...

This note solves the puzzle of estimating degenerate Wishart Autoregressive processes, introduced by Gourieroux, Jasiak and Sufana (2009) to model multivariate stochastic volatility. It derives the asymptotic and empirical properties of the Method of Moment estimator of the Wishart degrees of freedom subject to different stationarity assumptions and specific distributional settings of the under...

We examine the match/mismatch between demand and supply of impact investments. show that some geographic regions display an upward match, while others exhibit a downward match. explain how with well-developed (or less-developed) economies are not necessarily equal to investment markets. also highlight sectors exhibiting match or mismatch investments, potential reasons. Regarding both sector con...

We propose a method of moment estimator for a stochastic frontier model in which one of the independent variables is measured with errors. The estimator requires only minimal distributional assumption on the measurement error, has no need for additional data, and is computationally inexpensive. A Monte Carlo study and an empirical example show favorable performances by this estimator. JEL Class...

We characterise the probability distributions of various categories gross capital flows conditional on information contained in financial asset prices a panel emerging market economies, with focus ‘tail’ events. Our framework, based quantile regression methodology, allows for separate role push- and pull-type factors, because it is high-frequency data, can quantify likelihood different outturns...

factor demand behavior such as energy demand has an important role in the economic analysis. this issue is a major concern in the developing countries (e.g. iran) which are benefited from vast energy resources. in this paper, the third generation of factor demand models is used to analyze the behavior of capital adjustment in the iranian manufacturing industries. the dataset covers the two-digi...

We examine herding behavior of domestic and foreign investors in the Indonesian stock market. We document that both domestic and foreign investors from a particular brokerage firm tend to herd. The foreign investors exhibit a greater propensity to herd than domestic investors. However, when examining investor trading across brokerage firms, we find only weak evidence of herding by domestic inve...

This paper presents a simultaneous model of exchange rates between the US dollar, German mark and Japanese yen. In addition to incorporating long-run equilibria and short-run dynamics, the model is designed to capture complex interaction between currencies not normally considered in exchange rate models. The model is demonstrated to be an economically and statistically superior forecasting tool...

Article history: Received 9 March 2007 Accepted 9 July 2008 Available online 12 October 2008 We examine four European stock indices and the prices of eight major German stocks for indications of psychological barriers. The frequency, (expected) returns, intraday volatility and trading volume of these assets are studied contingent on whether the prices lie within a certain range around round num...