This paper discusses aspects of S.G. Donald et al. (2010) and R. Davidson (2010), which were presented at the Econometrics Journal sponsored special session on the econometrics of inequality measurement, held at the Royal Economics Society Meeting in Surrey in 2010. JEL Classification: C10, C14, C15, I39 ∗This discussion was prepared for presentation at the Econometrics Journal sponsored specia...

Calculation of Multivariate Normal Probabilities by Simulation, with Applications to Maximum Simulated Likelihood Estimation We discuss methods for calculating multivariate normal probabilities by simulation and two new Stata programs for this purpose: -mdrawsfor deriving draws from the standard uniform density using either Halton or pseudo-random sequences, and an egen function -mvnp()for calc...

Monthly seasonally unadjusted data can exhibit roots with possibly fractional orders of integration, corresponding to the monthly but also to the quarterly and to the long-run or trending components of the series. In this paper we use a procedure which is suitable to test simultaneously for the order of integration of each of these components and apply it to several US monetary aggregates. JEL ...

This paper is concerned with a semiparametric Bayesian framework for estimating quantile treatment effects. A general and flexible model is specified using a generalization of the Pólya urn scheme. An exact Bayesian analysis is carried out by Markov chain Monte Carlo simulation methods. The proposed techniques are illustrated by estimating the effect of participation in the 401(k) retirement pr...

The paper is dedicated to deriving a gaussian procedure to test for cointegration. We consider four alternative specifications, depending on the form adopted by the deterministic terms. We then define the test statistic and derive its asymptotic behaviour under both the null and the alternative hypotheses. We show that, under the null hypothesis, the test procedure follows a Standard-Normal dis...

We consider mathematical models for portfolio credit risk. We analyze the mathematical structure and in particular the modelling of dependence between default events in these models and propose extensions of standard industry models. We study the model risk related to the choice of model structure and input parameters. Finally we develop and test several approaches to model calibration in credi...

The authors address the issue of estimation and inference in dependent nonstationary panels of small cross-section dimensions. The main conclusion is that the best results are obtained applying bootstrap inference to single-equation estimators, such as fully modified ordinary least squares and dynamic ordinary least squares. Seemingly unrelated regression estimators perform badly, or are even u...

A least squares estimation approach for the estimation of a GARCH (1,1) model is developed. The asymptotic properties of the estimator are studied given mild regularity conditions, which require only that the error term has a conditional moment of some order. We establish the consistency, asymptotic normality and the law of iterated logarithm for our estimate. The finite sample properties are a...

We examine in this article the power of the tests of Robinson (1994) for testing I(d) statistical models in the presence of moving average (MA) disturbances. The results show that the tests behave relatively well if we correctly assume that the disturbances are MA. However, assuming white noise or autoregressive disturbances, the power of the tests against one-sided alternatives is very low. JE...