This paper reviews a number of conceptual issues pertaining to the implementation of an explicit “spatial ” perspective in applied econometrics. It provides an overview of the motivation for including spatial effects in regression models, both from a theory-driven as well as from a data-driven perspective. Considerable attention is paid to the inferential framework necessary to carry out estimation and testing and the different assumptions, constraints and implications embedded in the various specifications available in the literature. The review combines insights from the traditional spatial econometrics literature as well as from geostatistics, biostatistics and medical image analysis.

This paper reviews the existing approaches to deal with panel data binary choice models with individual effects. Their relative strengths and weaknesses are discussed. Much theoretical and empirical research is needed in this area, and the paper points to several aspects that deserve further investigation. In particular, I illustrate the usefulness of asymptotic arguments in providing both approximately unbiased moment conditions, and approximations to sampling distributions for panels of different sample sizes. JEL classification:C23.

Building models for high dimensional portfolios is important in risk management and asset allocation. Here we propose a novel and fast way of estimating models of time-varying covariances that overcome an undiagnosed incidental parameter problem which has troubled existing methods when applied to hundreds or even thousands of assets. Indeed we can handle the case where the cross-sectional dimension is larger than the time series one. The theory of this new strategy is developed in some detail, allowing formal hypothesis testing to be carried out on these models. Simulations are used to explore the performance of this inference strategy while empirical examples are reported which show the strength of this method. The out of sample hedging performance of various models estimated using this method are compared.

Building models for high dimensional portfolios is important in risk management and asset allocation. Here we propose a novel way of estimating models of time-varying covariances that overcome some of the computational problems and an undiagnosed incidental parameter problem which have troubled existing methods when applied to hundreds or even thousands of assets. The theory of this new strategy is developed in some detail, allowing formal hypothesis testing to be carried out on these models. Simulations are used to explore the performance of this inference strategy while empirical examples are reported which show the strength of this method. The out of sample hedging performance of various models estimated using this method are compared.

Test statistics that are suitable for testing composite hypotheses are typically non-pivotal, and conservative bounds are commonly used to test composite hypotheses. In this paper, we propose a testing procedure for composite hypotheses that incorporates additional sample information. This avoids, as n →∞, the use of conservative bounds and leads to tests with better power than standard tests. The testing procedure satisfies a novel similarity condition that is relevant for asymptotic tests of composite hypotheses, and we show that this is a necessary condition for a test to be unbiased. The procedure is particularly useful for simultaneous testing of multiple inequalities, in particular when the number of inequalities is large. This is the situation for the multiple comparisons of forecasting models, and we show that the new testing procedure dominates the ‘reality check ’ of White (2000) and avoids certain pitfalls.

for his kind and beneficial guidance, encouragement, and careful reading. I also thank Professor Nick Kiefer,

This study examines the impact of return migration from Côte d’Ivoire (economic pole of West Africa) to Burkina Faso (enclaved Sahel country). The paper first gives the context for the migratory crisis in the region. Then, a methodology robust to the selection bias is used to examine the prospects for return migration and its effects on yields of cereal production. When studying food security and its stability in the Sahel, it is not realistic to keep the current production conditions constant. Among the pertinent questions in Sahel agriculture, the combined impact of the technological evolution and current demographic trends is a basic element. Technological innovation in cereal agriculture has the potential to eradicate the problems of food insecurity by improving yields. These technologies, if they prove to be of interest, could ultimately have carryover effects on all farms within the context of rapid demographic growth. While intense human flows have freely circulated between the countries of West Africa in the past, the Sahel countries are increasingly the destination of return migration, particularly between Côte d’Ivoire and Burkina Faso. Formerly the pole of immigration in West Africa, Côte d’Ivoire is moving to a position of net reexport of labor over the period 1988–92 (with a declining migratory rate of +0.41 percent per year) vis-àvis the network of countries studied by the REMUAO 13 survey (Burkina Faso, Ivory Coast, Guinea, Mali,

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Nuisance parameters, composite likelihoods

In a famous episode of financial history which lasted over eight years, the market for the future on the Bund moved entirely from LIFFE, the incumbent London-based derivatives exchange, to DTB, the entering Frankfurt-based exchange. This paper studies the determinants of traders’ exchange choice, using a novel panel dataset that contains individual trading firms’ membership status at each exchange together with other firms characteristics, and pricing, marketing and product portfolio strategies by each exchange. Our data allows us to evaluate different sources of heterogeneity among trading firms and thus, to distinguish between different explanations for the observed phenomenon. The story the data tell is one of horizontal differentiation induced artifically by national access barriers that came down after deregulation in Europe and in the US, with secondary played by endogenous vertical differentiation due to liquidity and exchange scope effects.