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The error structure of time series cross-section hedonic models with sporadic...
When estimating hedonic models of housing prices, the use of time series cross-section repeat sales data can provide improvements in estimator efficiency and correct for... -
Estimating the LQAC model with I(2) variables (replication data)
This paper derives a method for estimating and testing the Linear Quadratic Adjustment Cost (LQAC) model when the target variable and some of the forcing variables follow I(2)... -
A non-linear filtering approach to stochastic volatility models with an appli...
This paper develops a new model for the analysis of stochastic volatility (SV) models. Since volatility is a latent variable in SV models, it is difficult to evaluate the exact... -
Econometric software reliability: EViews, LIMDEP, SHAZAM and TSP (replication...
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Detecting periodically collapsing bubbles: a Markov-switching unit root test ...
This paper addresses the problem of testing for the presence of a stochastic bubble in a time series in the case that the bubble is periodically collapsing so that the asset... -
A Monte Carlo study of the forecasting performance of empirical SETAR models ...
In this paper we investigate the multi-period forecast performance of a number of empirical self-exciting threshold autoregressive (SETAR) models that have been proposed in the... -
The time-varying behaviour of real interest rates: a re-evaluation of the rec...
A time-varying parameter model with Markov-switching conditional heteroscedasticity is employed to investigate two sources of shifts in real interest rates: (1) shifts in the... -
Estimating the Natural Rate of Unemployment and Testing the Natural Rate Hypo...
How should one measure the natural rate of unemployment? This paper proposes a systems procedure as an alternative to NAIRU. The natural rate is treated as an unobserved state... -
Unit roots in the presence of abrupt governmental interventions with an appli...
This paper considers econometric issues related to time-series data that have been subject to abrupt governmental interventions. The motivating example for this study is the... -
Small sample properties of LIML and jackknife IV estimators: experiments with...
Using Monte Carlo simulations we study the small sample performance of the traditional TSLS, the LIML and four new jackknife IV estimators when the instruments are weak. We find... -
Jackknife instrumental variables estimation (replication data)
Two-stage-least-squares (2SLS) estimates are biased towards the probability limit of OLS estimates. This bias grows with the degree of over-identification and can generate...
