Individual heterogeneity is an important source of variation in demand. Allowing for general heterogeneity is needed for correct welfare comparisons. We consider general heterogenous demand where preferences and linear budget sets are statistically independent. We find that the dimension of heterogeneity and the individual demand functions are not identified. We also find that the exact consume...

Estimation of Productivity in Korean Electric Power Plants: A Semiparametric Smooth Coefficient Model This paper analyzes the impact of load factor, facility and generator types on the productivity of Korean electric power plants. In order to capture important differences in the effect of load policy on power output, we use a semiparametric smooth coefficient (SPSC) model that allows us to mode...

We propose a tree-structured heterogeneous autoregressive (tree-HAR) process as a simple and parsimonious model for the estimation and prediction of tick-by-tick realized correlations. The model can account for different time and other relevant predictors’ dependent regime shifts in the conditional mean dynamics of the realized correlation series. Testing the model on S&P 500 and 30-year treasu...

We outline a range of criteria for evaluating model selection approaches that have been used in the literature. Focusing on three key criteria, we evaluate automatically selecting the relevant variables in an econometric model from a large candidate set. General-tospecific selection is outlined for a regression model in orthogonal variables, where only one decision is required to select, irresp...

This paper develops a new methodology for estimating and testing conditional factor models in finance. We propose a two-stage procedure that naturally unifies the two existing approaches in the finance literature–the parametric approach and the nonparametric approach. Our combined approach possesses important advantages over both methods. Using our two-stage combined estimator, we derive new te...

We apply a logistic smooth transition market model (LSTM) to a sample of returns on Australian industry portfolios to investigate whether bull and bear market betas differ. Unlike other studies, our LSTM model allows for smooth transition between bull and bear states and allows the data to determine the threshold value. The estimated value of the smoothness parameter was very large for all indu...

We develop a global vector autoregressive model GVAR to analyze macroeconomic shock transmission among the East African Community countries. The results suggest that there is a signi…cant growth and in‡ation shock transmissions from Kenya to the rest of the member countries while the transmission in the opposite direction is insigni…cant. The macroeconomic shocks are re‡ected more on prices tha...

This paper examines the transmission of equity returns and volatility among Asian equity markets and investigates the differences that exist in this regard between the developed and emerging markets. Three developed markets (Hong Kong, Japan and Singapore) and six emerging markets (Indonesia, Korea, Malaysia, the Philippines, Taiwan and Thailand) are included in the analysis. A multivariate gen...

We compute the light-hadron mass spectrum at b55.7 using the O(a)-improved Sheikholeslami-Wohlert fermion action with two choices of the clover coefficient: the classical value c51 and a mean-field or tadpole-improved estimate c51.57. We compare our results with those of the GF11 Collaboration who use the Wilson fermion action (c50). We find that changing c from zero to 1 and 1.57 leads to sign...

Motivated by the need of a positive-semidefinite estimator of multivariate realized covariance matrices, we model noisy and asynchronous ultra-high-frequency asset prices in a state-space framework with missing data. We then estimate the covariance matrix of the latent states through a Kalman smoother and Expectation Maximization (KEM) algorithm. Iterating between the two EM steps, we obtain a ...