In analyzing the distributional properties of estimators and other statistics in econometric models, the small disturbance asymptotic theory has assumed a prominent place for several reasons. For instance, the exact finite-sample distribution theory generally provides intricate expressions from which it is hard to draw any neat inference related to the efficiency properties of estimators, confi...

There is hardly a concept in econometrics that is more enigmatic and controvertial than that of exogeneity. This report|an edited excerpt from (Pearl 2000)|claims that exogeneity is a rather simple concept, readily de nable in terms of standard econometric models, and that the confusion stems primarily from improper usage of statistical vocabulary in a structural framework.

Experimental data have consistently shown diversity in beliefs as well as in actions among experimental subjects. This paper presents and compares alternative behavioral econometric models for the characterization of player heterogeneity, both between sub-populations of players and within subpopulations. In particular, two econometric models of diversity within sub-populations of players are in...

The housing and mortgage markets have long been considered to be markets that may not always be in equilibrium, and many econometric models of the housing and mortgage markets have tried in one way or another to account for disequilibrium effects. In this paper a critique of previous models of the housing and mortgage markets is made. The main argument of the paper is that disequilibrium effect...

The first is based upon the seminal work of Nobel Prize winner Larry Klein in his 1947 paper. This has two basic components. First, an essentially Keynesian system of macro-theoretical relationships. Second, fitting curves (planes) through empirical macrodata using econometric (statistical) techniques to estimate parameters for these theoretical relationships. Over the past 60 years, the models...

This paper presents the theoretical development of new threshold autoregressive models based on trended time series. The theoretical arguments underlying the models are outlined and a nonlinear economic model is used to derive the speci cation of the empirical econometric models. Estimation and testing issues are considered and analysed. Additionally we apply the models to the empirical investi...

This paper considers identification and estimation of structural interaction effects in a social interaction model. The model allows unobservables in the group structure, which may be correlated with included regressors. We show that both the endogenous and exogenous interaction effects can be identified if there are sufficient variations in group sizes. We consider the estimation of the model ...

This paper analyzes the various econometric models that have been used to identify asymmetric pricing in the retail gasoline industry, and also documents empirical regularities in the market. I find that a standard error-correction model coupled with daily price data is best suited to analyze asymmetric price adjustments. Moreover, temporally aggregated data can severely bias parameter estimate...

This paper analyses current policy choices facing the candidate countries for EU accession using newly developed econometric macromodels of Poland, Hungary, the Czech Republic, Slovenia and Estonia. The models allow for endogenous growth, and they have been incorporated into an existing global econometric model (NiGEM). This allows long-term projections to be made consistently with expected dev...