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I discuss a framework to allow dynamic sparsity in time-varying parameter regression models. The conditional variances of the innovations of time-varying parameters are time varying and equal to zero adaptively via thresholding. The resulting model allows the dynamics of the time-varying parameters to mix over different frequencies of parameter changes in a data driven way and permits great flexibility while achieving model parsimony. A convenient strategy is discussed to infer if each coefficient is static or dynamic and, if dynamic, how frequent the parameter change is. An MCMC scheme is developed for model estimation. The performance of the proposed approach is illustrated in studies of both simulated and real economic data. [ABSTRACT FROM AUTHOR]

We reconsider Taupin's (2001) Integrated Nonlinear Regression (INLR) estimator for a nonlinear regression with a mismeasured covariate. We find that if we restrict the distribution of the measurement error to a class of distributions with restricted support, then much weaker smoothness assumptions than hers suffice to ensure [image omitted] consistency of the estimator. In addition, we show that the INLR estimator remains consistent under these weaker smoothness assumptions if the support of the measurement error distribution expands with the sample size. In that case the estimator remains also asymptotically normal with a rate of convergence that is arbitrarily close to [image omitted]. Our results show that deconvolution can be used in a nonparametric first step without imposing restrictive smoothness assumptions on the parametric model. [ABSTRACT FROM AUTHOR]

This article considers the cointegrating regression with errors whose variances change smoothly over time. The model can be used to describe a long-run cointegrating relationship, the tightness of which varies along with time. Heteroskedasticity in the errors is modeled nonparametrically and is assumed to be generated by a smooth function of time. We show that it can be consistently estimated by the kernel method. Given consistent estimates for error variances, the cointegrating relationship can be efficiently estimated by the usual generalized least squares (GLS) correction for heteroskedastic errors. It is shown that the U.S. money demand function, both for M1 and M2, is well fitted to such a cointegrating model with an increasing trend in error variances. Moreover, we found that the bilateral purchasing power parities among the leading industrialized countries such as the United States, Japan, Canada, and the United Kingdom have been changed somewhat conspicuously over the past thirty years. In particular, it appears that they all have generally become more tightened during the period. [ABSTRACT FROM AUTHOR]

The Box-Cox quantile regression model introduced by Powell (1991) is a flexible and numerically attractive extension of linear quantile regression techniques. Chamberlain (1994) and Buchinsky (1995) suggest a two stage estimator for this model but the objective function in stage two of their method may not be defined in an application. We suggest a modification of the estimator which is easy to implement. A simulation study demonstrates that the modified estimator works well in situations, where the original estimator is not well defined. [ABSTRACT FROM AUTHOR]

This article presents results concerning the performance of both single equation and system panel cointegration tests and estimators. The study considers the tests developed in Pedroni (1999, 2004), Westerlund (2005), Larsson et al. (2001), and Breitung (2005) and the estimators developed in Phillips and Moon (1999), Pedroni (2000), Kao and Chiang (2000), Mark and Sul (2003), Pedroni (2001), and Breitung (2005). We study the impact of stable autoregressive roots approaching the unit circle, of I(2) components, of short-run cross-sectional correlation and of cross-unit cointegration on the performance of the tests and estimators. The data are simulated from three-dimensional individual specific VAR systems with cointegrating ranks varying from zero to two for fourteen different panel dimensions. The usual specifications of deterministic components are considered. [ABSTRACT FROM AUTHOR]

It is shown how the usual two-step estimator for the standard sample selection model can be seen as a method of moments estimator. Standard GMM theory can be brought to bear on this model, greatly simplifying the derivation of the asymptotic properties of this model. Using this setup, the asymptotic variance is derived in detail and a consistent estimator of it is obtained that is guaranteed to be positive definite, in contrast with the estimator given in the literature. It is demonstrated how the MM approach easily accommodates variations on the estimator, like the two-step IV estimator that handles endogenous regressors, and a two-step GLS estimator. Furthermore, it is shown that from the MM formulation, it is straightforward to derive various specification tests, in particular tests for selection bias, equivalence with the censored regression model, normality, homoskedasticity, and exogeneity. [ABSTRACT FROM AUTHOR]