We show that the quantile regression estimator is consistent and asymptotically normal when the error terms are correlated within clusters but independent across clusters. A consistent estimator of the covariance matrix of the asymptotic distribution is provided and we propose a specification test capable of detecting the presence of intra-cluster correlation. A small simulation study illustrat...

This paper uses player/match level data drawn from five playing seasons of the English Premiership League (EPL) to test for the presence of a refereeing susceptibility to social pressure in the application of soccer’s commonest sanction, the yellow disciplinary card. Using both player-specific fixed and random effects models, tentative support for the proposition is uncovered. The estimated eff...

Few macroeconomic studies exist on the effects of taxes on international trade. Our hypothesis is that higher tax rates raise a country’s production costs, leading to a decrease in exports in the long run. With panel data for 25 OECD countries, we use average effective tax rates on consumption, labor income and capital income to examine their impact on bilateral trade. We find that that all thr...

We examine bias corrections which have been proposed for the Fixed Effects Panel Probit model with exogenous regressors, using several different data generating processes to evaluate the performance of the estimators in different situations. We find a best estimator across all cases for coefficient estimates, but when the marginal effects are the quantity of interest no analytical correction is...

We analyse the effect of the anonymisation method multiplicative stochastic noise on the within estimation of a linear panel model. In particular, we concentrate on the panel model with serially correlated regressors. In addition to anonymisation as such, the serial correlation in a data set with only few points in time increases the bias of the within estimator and therefore must be taken into...

We suggest moment estimators for the parameters of a continuous time GARCH(1,1) process based on equally spaced observations. Using the fact that the increments of the COGARCH(1,1) process are ergodic, the resulting estimators are consistent. We investigate the quality of our estimators in a simulation study based on the compound Poisson driven COGARCH model. The estimated volatility with corre...