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Robust tests of forward exchange market efficiency with empirical evidence fr...
This paper provides a robust statistical approach to testing the unbiasedness hypothesis in forward exchange market efficiency studies. The methods we use allow us to work... -
Parametric and semi-parametric modelling of vacation expenditures (replicatio...
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... -
Transient fads and the crash of ′87 (replication data)
Using a fad model with Markov-switching heteroscedasticity in both the fundamental and fad components (UC-MS model), this paper examines the possibility that the 1987 stock... -
Measurement of total factor productivity growth and biases in technological c...
This study investigates productivity growth in broad-acre agriculture in Western Australia. Tornqvist indices of three output groups (crops, sheep products and other) and five... -
Analysing inflation by the fractionally integrated ARFIMA-GARCH model (replic...
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... -
Money stock targeting and money supply: A closer examination of the data (rep...
In a recent paper Mercenier and Sekkat (1988) use a linear-quadratic model to examine the willingness of a monetary authority in a small open economy to target its exchange...
