This paper studies how well a search and matching model can describe aggregate Japanese labor market dynamics in a full information setting. We develop a discretetime search and matching model with productivity and separation shocks and use it as a data-generating process for our empirical analysis. Using Bayesian methods, we estimate the model for data on unemployment and vacancy postings in J...

In this paper we extend the univariate FIGARCH and FIAPARCH models to a bivariate framework. We estimate bivariate error correction FIGARCH and FIAPARCH models between the All Ordinaries Index and its SPI futures using constant correlation and diagonal parameterisations. We therefore employ a flexible estimation approach that captures the long run equilibrium relationship between the two market...

This paper analyses the willingness-to-pay (WTP) of forest owners for insurance against natural hazards such as fire. The objective is to identify the determinants of forest owner’s participation to insurance and insurance demand. In particular, we are interested in the impact of different types of public compensation: fixed help, contingent fixed help and insurance subsidy. We also analyse the...

Standard merger simulations focus solely on price changes while constraining the set of product characteristics to be identical preand post-merger. Recent papers have begun to address this issue (see, e.g. Fan, August 2013 AER). To overcome the limitations of traditional simulations, I endogenize both prices and product characteristics by specifying a two-stage oligopoly game. After estimating ...

The properties and applications of the normal log-normal (NLN) mixture are considered. The moment of the NLN mixture is shown to be finite for any positive order. The expectations of exponential functions of a NLN mixture variable are also investigated. The kurtosis and skewness of the NLN mixture are explicitly shown to be determined by the variance of the log-normal and the correlation betwee...

In this paper we analyze the effects of some distortions induced by prospective payment system, i.e. Upcoding, Cream Skimming and Readmissions, on hospitals’ technical efficiency. We estimate a production function using a population–based dataset composed by all active hospitals in an Italian region during the period 1998–2007. We show that cream skimming and upcoding have a negative impact on ...

We propose a dynamic model for financial market volatility with an heterogeneous structure for three components: continuous volatiilty, leverage and jumps. We find that each of the three components plays a significant role in volatility forecasting and neglecting one of them is detrimental to the forecasting performance. Importantly, we find remarkable forecasting power for the negative past re...

We establish Markovian models in the Heath, Jarrow and Morton paradigm that permit an exponential affine representation of riskless and risky bond prices while offering significant flexibility in the choice of volatility structures. Estimating models in our family is typically no more difficult than estimating term structure models in the workhorse affine family. In addition to diffusive and ju...

This paper considers a state space model with integrated latent variables. The model provides an effective framework to specify, test and extract common stochastic trends for a set of integrated time series. The model can be readily estimated by the standard Kalman filter, whose asymptotics are fully developed in the paper. In particular, we establish the consistency and asymptotic mixed normal...

Missing values are endemic in the data sets available to econometricians. This paper suggests a unified likelihood-based approach to deal with several nonignorable missing data problems for discrete choice models. Our concern is when either the dependent variable is unobserved or situations when both dependent variable and covariates are missing for some sampling units. These cases are also con...