Econometrics Working Papers

From Department of Economics, University of Victoria
PO Box 1700, STN CSC, Victoria, BC, Canada, V8W 2Y2.
Contact information at EDIRC.
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1901: Suits' Watermelon Model: The Missing Simultaneous Equations Empirical Application

Kenneth Stewart

1704: Risk Analysis for Three Precious Metals: An Application of Extreme Value Theory

David Giles and Qinlu Chen

1703: A Note on Improved Estimation for the Topp-Leone Distribution

David Giles

1702: Analytic Bias Correction for Maximum Likelihood Estimators When the Bias Function is Non-Constant

Ryan T. Godwin and David Giles

1701: Model Averaging OLS and 2SLS: An Application of the WALS Procedure

Judith Anne Clarke

1403: Factor substitution, factor-augmenting technical progress, and trending factor shares: the Canadian evidence

Kenneth Stewart and Jiang Li

1402: Risk Analysis for Three Precious Metals: An Application of Extreme Value Theory

David Giles and Qinlu Chen

1401: On Variance Estimation for a Gini Coefficient Estimator Obtained from Complex Survey Data

Judith Clarke and Ahmed A. Hoque

1301: Modelling Volatility Spillover Effects Between Developed Stock Markets and Asian Emerging Stock Markets

David Giles and Yanan Li

1204: Health and Wealth: Short Panel Granger Causality Tests for Developing Countries

Judith Clarke, Nilanjana Roy and Weichun Chen

1203: A Note on Improved Estimation for the Topp-Leone Distribution

David Giles

1202: Constructing Confidence Bands for the Hodrick-Prescott Filter

David Giles

1201: Exact Asymptotic Goodness-of-Fit Testing For Discrete Circular Data, With Applications

David Giles

1111: Bias Reduction for the Maximum Likelihood Estimator of the Parameters of the Generalized Rayleigh Family of Distributions

David Giles and Xiao Ling

1110: Testing for Multivariate Cointegration in the Presence of Structural Breaks: p-Values and Critical Values

David Giles and Ryan T. Godwin

1109: Improved Maximum Likelihood Estimation of the Shape Parameter in the Nakagami Distribution

Jacob Schwartz, Ryan T. Godwin and David Giles

1107: The Optimal Construction of Instruments in Nonlinear Regression: Implications for GMM Inference

Kenneth Stewart

1106: On the Inconsistency of Instrumental Variables Estimators for the Coefficients of Certain Dummy Variables

David Giles

1105: Bias - Corrected Maximum Likelihood Estimation of the Parameters of the Generalized Pareto Distribution

David Giles, Hui Feng and Ryan T. Godwin

1104: On the Bias of the Maximum Likelihood Estimator for the Two-Parameter Lomax Distribution

David Giles, Hui Feng and Ryan T. Godwin

1103: Quantity versus Quality: What’s in a (Journal) Name?

David Giles

1102: Biased-Reduced Maximum Likelihood Estimation for the Zero-Inflated Poisson Distribution

Jacob Schwartz and David Giles

1101: Interpreting Dummy Variables in Semi-logarithmic Regression Models: Exact Distributional Results

David Giles

1004: Bayesian Estimation of a Possibly Mis-Specified Linear Regression Model

David Giles

1003: The Extreme-Value Dependence Between the Chinese and Other International Stock Markets

David Giles

1002: On Statistical Inference for Inequality Measures Calculated from Complex Survey Data

Judith Clarke and Nilanjana Roy

1001: Hermite Regression Analysis of Multi-Modal Count Data

David Giles

0909: Almost Unbiased Estimation of the Poisson Regression Model

David Giles and Hui Feng

0908: Bias of the Maximum Likelihood Estimators of the Two-Parameter Gamma Distribution Revisited

David Giles and Hui Feng

0907: Finite-Sample Properties of the Maximum Likelihood Estimator for the Poisson Regression Model With Random Covariates

Qian Chen and David Giles

0906: Finite-Sample Properties of the Maximum Likelihood Estimator for the Binary Logit Model With Random Covariates

Qian Chen and David Giles

0905: Capital Structures in an Emerging Market: A Duration Analysis of the Time Interval Between IPO and SEO in China

Yang Ni, Shasha Guo and David Giles

0904: On Statistical Inference for Inequality Measures Calculated from Complex Survey Data

Judith Clarke and Nilanjana Roy

0903: Bayesian Fuzzy Regression Analysis and Model Selection: Theory and Evidence

Hui Feng and David Giles

0902: Bias - Corrected Maximum Likelihood Estimation of the Parameters of the Generalized Pareto Distribution

David Giles and Hui Feng

0901: Bias Reduction for the Maximum Likelihood Estimator of the Scale Parameter in the Half-Logistic Distribution

David Giles

0802: Competition Within a Cartel: Correction

Scott Brave, Donald G. Ferguson and Kenneth Stewart

0801: Finite-Sample Moments of the MLE for the Binary Logit Model

Qian Chen and David Giles

0710: Bayesian Fuzzy Regression Analysis and Model Selection: Theory and Evidence

Hui Feng and David Giles

0709: Nonjointness and Scope Economies in the Multiproduct Symmetric Generalized McFadden Cost Function

Kenneth Stewart

0708: Extreme Value Analysis of Daily Canadian Crude Oil Prices

Feng Ren and David Giles

0707: A Survival Analysis of the Approval of U.S. Patent Applications

Ying Xie and David Giles

0706: Some Properties of Absolute Returns as a Proxy for Volatility

David Giles

0705: An Application of Extreme Value Theory to U.S. Movie Box Office Returns

Guang Bi and David Giles

0704: An Updated Assessment of the Lucas Supply Curve

Brant Abbott and Cristina Martinez

0703: A Saddlepoint Approximation to the Distribution of the Half-Life Estimator in an Autoregressive Model: New Insights Into the PPP Puzzle

Qian Chen and David Giles

0702: General Saddlepoint Approximations: Application to the Anderson-Darling Test Statistic

Qian Chen and David Giles

0701: On Weighted Estimation in Linear Regression in th Presence of Parameter Uncertainty

Judith Clarke

0607: The Exact Asymptotic Distribution Function of Watson's UN-Squared for Testing Goodness-of-Fit With Circular Discrete Data

David Giles

0606: Benford's Law and Psychological Barriers in Certain eBay Auctions

Ocean Fan Lu and David Giles