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Nonnegativity constraints and intratemporal uncertainty in a multi-good life-...
In the standard multi-good life-cycle consumption model (with intertemporal additive utility) the intratemporal relations between the marginal utilities of the different goods... -
Cyclical properties of a real business cycle model (replication data)
This paper tests the well-known real business cycle model of Kydland and Prescott (1988), using spectral methods for linear filters. Model spectra, coherencies, phase shifts,... -
Testing the implications of long-run neutrality for monetary business cycle m...
This paper compares sample fluctuations of the US business cycle with those predicted by a class of equilibrium monetary business cycle models. The predictions of the models are... -
Asset trading, transaction costs and the equity premium (replication data)
A model is developed that attempts to explain the historical size of the US equity premium by distinguishing between gross and net returns accruing to agents. The model derived... -
A duration model of irreversible oil investment: Theory and empirical evidenc...
The aim of this paper is to analyse the implications of the theory of irreversible investment under uncertainty for investment in oil fields on the United Kingdom Continental... -
The linear quadratic adjustment cost model and the demand for labour (replica...
In this paper we demonstrate a new way of testing the linear quadratic adjustment cost (LQAC) model under rational expectations. We illustrate how the parameter restrictions... -
Statistical inference in calibrated models (replication data)
This paper describes a Monte Carlo procedure to assess the performance of calibrated dynamic general equilibrium models. The procedure formalizes the choice of parameters and... -
A structural model of aircraft engine maintenance (replication data)
We develop and estimate a simple regenerative optimal stopping model of aircraft engine maintenance that attempts to describe the behaviour of airline maintenance personnel. The... -
Estimating nonlinear time-series models using simulated vector autoregression...
This paper develops two new methods for conducting formal statistical inference in nonlinear dynamic economic models. The two methods require very little analytical... -
Common Trends and Common Cycles (replication data)
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... -
On the estimation of simultaneous-equations error-components models with an a...
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... -
A re-examination of the q theory of investment using u.s. firm data (replicat...
Investment models based on Tobin's q are theoretically appealing, but they have been an empirical disappointment when applied to aggregate time-series data. This paper explores...
