Estimation of variances in orthogonal finite discrete spectrum linear regression models

The Invariant Quadratic Estimators, the Maximum Likelihood Estimator (MLE) and Restricted Maximum Likelihood Estimator (REML) of variances in an orthogonal Finite Discrete Spectrum Linear Regression Model (FDSLRM) are derived and the problems of unbiasedness and consistency of these estimators are investigated.Acknowledgement. The research was supported by the grants 1/0272/03, 1/0264/03 and 2/4026/04 of the Slovak Scientific Grant Agency VEGA.     

The density of the parameter estimators when the observations are distributed exponentially

We present the probability density of parameter estimators whenN independent variables are observed, each of them distributed according to the exponential low (with some parameters to be estimated). The numberN is supposed to be small. Typically, such an experimental situation arises in problems of software reliability, another case is a small sample in the GLIM modeling. The considered estimator is defined by the maximum of the posterior probability density; it is equal to the maximum likelihood estimator when the prior is uniform. The exact density is obtained, and its approximation is discussed in accordance with some information-geometric considerations. The main body of the paper has been prepared during the author’s visit in LMC/IMAG Grenoble, France, on the invitation of Université Joseph Fourier in January 1994.     

Labour adjustment costs: Estimation of a dynamic discrete choice model using panel data for Greek manufacturing firms

In this paper we estimate a dynamic structural model of employment at firm level. Our dataset consists of a balanced panel of 2790 Greek manufacturing firms. The empirical evidence of this dataset stresses three important stylized facts: (a) there are periods in which firms decide not to change their labour input, (b) there are periods of large employment changes (lumpy nature of labour adjustment) and (c) the commonality is employment spikes to be followed by smooth and low employment growth periods. Following Cooper and Haltiwanger [Cooper, R.W. and Haltiwanger, J. “On the Nature of Capital Adjustment Costs”, Review of Economic Studies, 2006; 73(3); 611–633], we consider a dynamic discrete choice model of a general specification of adjustment costs including convex, non-convex and “disruption of production” components. We use a method of simulated moments procedure to estimate the structural parameters. Our results indicate considerable fixed costs in the Greek employment adjustment.