73 datasets found

The classical paradigm of asymptotic theory employed in econometrics presumes that model dimensionality, p, is fixed as sample size, n, tends to inifinity. Is this a plausible...

An empirical balance of payments model involving the demand and supply of imports and exports for 31 developing countries is estimated utilizing panel data over 1964-1987. In...

The existence of a serial correlation common feature among the first differences of a set of I(1) variables implies the existence of a common cycle in the...

The paper analyses the impact of persistence and volatility in the discount rate in present-value models on cointegration tests in levels and in logarithms. In simulations we...

This paper proposes and tests new definitions of convergence and common trends for per capita output. We define convergence for a group of countries to mean that each country...

We propose a general strategy to estimate semi-parametrically simultaneous equations with limited dependent variables. First, each reduced form (RF) is estimated with various...

An implication of optimizing theory is that demand functions are homogeneous of degree zero in prices and nominal income. Evidence based on estimations of demand systems has...

This paper analyses and extends alternative procedures for converting qualitative expectations responses to quantitative expectations. A number of conversion procedures is...

In this article we propose a simple and efficient method of estimating welfare measures in an n-equation system. We also estimate the variance of these measures. The accuracy...

A new family of spectral shape tests was proposed recently by Durlauf (1991) for testing the martingale hypothesis. Unlike the widely used variance ratio test, spectral shape...

Maximum likelihood is used to estimate a generalized autoregressive conditional heteroskedastic (GARCH) process where the residuals have a conditional stable distribution...

In this paper we investigate the out-of-sample forecasting ability of feedforward and recurrent neural networks based on empirical foreign exchange rate data. A two-step...

This paper explores the relationship between conventional models for binary response such as the probit and logit, and the proportional hazard (PH) and related specifications...

This paper considers the application of long-memory processes to describing inflation for ten countries. We implement a new procedure to obtain approximate maximum likelihood...

We analyse several limited dependent variable models explaining the budget share that Dutch families spend on vacations. To take account of the substantial number of zero...

This paper proposes a method of data analysis founded on the philosophy and understanding of uncertain knowledge developed by Bruno de Finetti. Specifically, the paper...

Empirical economists using flexible functional forms often face the disturbing choice of drawing inferences from an approximation violating properties dictated by theory or...

This paper provides an empirical reconsideration of evidence for excess co-movement of commodity prices within the framework of univariate and multivariate GARCH(1, 1) models....

This paper compares the familiar probit model with three semiparametric estimators of binary response models in an application to labour market participation of married women....

Tong's threshold models have been found useful in modelling nonlinearities in the conditional mean of a time series. The threshold model is extended to the so-called...