http://repub.eur.nl/res/concept/jel-D84/ Recent publications classified by JEL Code D84 en http://repub.eur.nl/static-eur/img/logo.png http://repub.eur.nl http://repub.eur.nl/res/pub/16299/ 2009-05-01T00:00:00Z We propose a new approach to the modelling of the term structure of interest rates. We consider the general dynamic factor model and show how to impose smoothness restrictions on the factor loadings. We further present a statistical procedure based on Wald tests that can be used to find a suitable set of such restrictions. We present these developments in the context of term structure models, but they are also applicable in other settings. We perform an empirical study using a data set of unsmoothed Fama-Bliss zero yields for US treasuries of different maturities. The general dynamic factor model with and without smooth loadings is considered in this study together with models that are associated with Nelson-Siegel and arbitrage-free frameworks. These existing models can be regarded as special cases of the dynamic factor model with restrictions on the model parameters. For all model candidates, we consider both stationary and nonstationary autoregressive processes (with different numbers of lags) for the latent factors. Finally, we perform statistical hypothesis tests to verify whether the restrictions imposed by the models are supported by the data. Our main conclusion is that smoothness restrictions can be imposed on the loadings of dynamic factor models for the term structure of US interest rates but that the restrictions implied by a number of popular term structure models are rejected. Jungbacker, B. Koopman, S.J. Wel, M. van der http://repub.eur.nl/res/pub/8072/ 2006-10-06T00:00:00Z Estimators of regression coefficients are known to be asymptotically normally distributed, provided certain regularity conditions are satisfied. In small samples and if the noise is not normally distributed, this can be a poor guide to the quality of the estimators. The paper addresses this problem for small and medium sized samples and heavy tailed noise. In particular, we assume that the noise is regularly varying, i.e., the tails of the noise distribution exhibit power law behavior. Then the distributions of the regression estimators are heavy tailed themselves. This is relavant for regressions involving financial data which are typically heavy tailed. In medium sized samples and with some dependency in the noise structure, the regression coefficient estimators can deviate considerably from their true values. The relevance of the theory is demonstrated for the highly variable cross country estimates of the expectations coefficient in yield curve regressions. Mikosch, T. Vries, C.G. de http://repub.eur.nl/res/pub/1675/ 2004-09-29T00:00:00Z The Lucas critique has been largely ignored in the marketing literature. We present a number of conditions under which the critique is most likely to (also) apply in marketing settings. Next, we provide some perspectives on how to diagnose and accommodate the Lucas critique, and identify various avenues for future research. Heerde, H.J. van Dekimpe, M.G. Putsis Jr, W.P. http://repub.eur.nl/res/pub/6792/ 2003-03-13T00:00:00Z Can vanity do any good? It may seem obvious to answer this question in the negative, as economists have shown how reputational concerns lead agents e.g. to ignore valuable information, to herd, and to become overly risk averse. We explore how proud agents may be a social blessing. An agent may exert effort to become informed about the uncertain benefits of aproject. A smart agent's efforts make him better informed; a dumb agent's efforts are to no avail. If an agent does not know his type, pride is socially beneficial. If an agent knows his type, a dumb agent takes inefficient, unconventional decisions to mimick a smart agent. The latter exerts more effort in order not to be mistaken for a dumb. This holds whether or not project rejection is a save haven for the dumb. Suurmond, G. Swank, O.H. Visser, B. http://repub.eur.nl/res/pub/6846/ 2001-08-27T00:00:00Z We analyze the implications of multiple applications by job seekers for the micro-foundations of the aggregate matching function. We emphasize a coordination failure caused by multiple applications that has not been previously considered, namely, that firms can waste time and effort processing an applicant who is ultimately hired by another firm. Albrecht, J.W. Gautier, P.A. Vroman, S.B.