We propose a generalization of the linear quantile regression model to accommodate possibilities afforded by panel data. Specifically, we extend the correlated random coefficients representation of linear quantile regression (e.g., Koenker, 2005; Section 2.6). We show that panel data allows the econometrician to (i) introduce dependence between the regressors and the random coefficients and (ii...

This paper features an analysis of major currency exchange rate movements in relation to the US dollar, as constituted in US dollar terms. Euro, British pound, Chinese yuan, and Japanese yen are modelled using a variety of non-linear models, including smooth transition regression models, logistic smooth transition regressions models, threshold autoregressive models, nonlinear autoregressive mod...

Contributions to public goods simulated in economists' laboratory experiments have two peculiarities from the perspective of statistical modelling. There is a variety of contributor behaviours (Ledyard, 1995), suggestive perhaps of separate classes of individuals, and contributions are doubly censored. We present an econometric model of contributions in sequential play, which takes into account...

We investigate a tethered (i.e., fixed connectivity) surface model on spherical surfaces with many holes by using the canonical Monte Carlo simulations. Our result in this paper reveals that the model has only a collapsing transition at finite bending rigidity, where no surface fluctuation transition can be seen. The first-order collapsing transition separates the smooth phase from the collapse...

We develop a new method for assessing the adequacy of a smooth regression function based on nonparametric regression and the bootstrap. Our methodology allows users to detect systematic misfit and to test hypotheses of the form ‘‘the proposed smooth regression model is not significantly different from the smooth regression model that generated these data.’’ We also provide confidence bands on t...

We examine the determinants of low income transitions using first-order Markov models that control for initial conditions effects (those found to be poor in the base year may be a nonrandom sample) and for attrition (panel retention may also be non-random). Our econometric model is a form of endogeneous switching regression, and is fitted using simulated maximum likelihood methods. The estimate...