1,232 datasets found

In this paper we present an exact maximum likelihood treatment for the estimation of a Stochastic Volatility in Mean (SVM) model based on Monte Carlo simulation methods. The SVM...

An Erratum for this article has been published in Journal of Applied Econometrics 18(2) 2003, 249 Previous empirical work on corporate growth rates using cross-section or...

Past parametric tests of demand system rank employed polynomial Engel curve systems. However, by Gorman's (1981) theorem, the maximum possible rank of a utility-derived...

A prominent test of long-run monetary neutrality (LRMN) involves regressing long-horizon output growth on long-horizon money growth. We obtain limited support for LRMN with this...

This paper considers the dynamics of a categorical indicator of self-assessed health using eight waves (1991-1998) of the British Household Panel Survey (BHPS). Our analysis has...

This paper presents estimates of a dynamic individual-level model of cannabis consumption, using data from a 1998 survey of young people in Britain. The econometric model is a...

We examine the determinants of low income transitions using first-order Markov models that control for initial conditions effects (those found to be poor in the base year may be...

The structural vector autoregression (SVAR) and simultaneous equation macroeconometric model (SEM) styles of empirical macroeconomic modelling are compared and contrasted, with...

The objective of this paper is to evaluate the effectiveness of using a Markov switching model to measure the synchronization of business cycles. We use a Bayesian, Gibbs...

This paper develops a model for the forward and spot exchange rate which allows for the presence of a Markov switching risk premium in the forward market and considers the issue...

We propose a general double tree structured AR-GARCH model for the analysis of global equity index returns. The model extends previous approaches by incorporating (i) several...

Any non-stationary series can be decomposed into permanent (or trend) and transitory (or cycle) components. Typically some atheoretic pre-filtering procedure is applied to...

This paper presents evidence that the equilibrium relationship in a system of nominal exchange rates is best described as a stationary GARMA process. The implementation of the...

Using data from the first 11 waves of the BHPS, this paper measures the extent of the selection bias induced by standard coresidence conditions-bias that is expected to be...

This paper investigates codependent cycles, i.e., transitory components that react to common stimuli in a similar, although not necessarily synchronous fashion. Unlike previous...

We estimate parametric and semi-parametric binary choice models of benefit take-up by British pensioners and use a revealed preference argument to infer the cash-equivalent...

This paper examines the extent of state dependence in unemployment and the role played in this by intervening low-wage employment. A range of dynamic random and fixed-effects...

This paper outlines a class of statistical procedures that permit testing of a broad range of multidimensional stochastic dominance hypotheses and, more generally, welfare...

We examine the mean and variance-covariance structure of log-wages over calendar time and the life cycle of British men, hereby controlling for birth cohort effects. We...

Phillips curves are central to discussions of inflation dynamics and monetary policy. The hybrid new Keynesian Phillips curve (NKPC) describes how past inflation, expected...