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Testing non-nested semiparametric models: an application to Engel curves spec...
This paper proposes a test statistic for discriminating between two partly non-linear regression models whose parametric components are non-nested. The statistic has the form of... -
The conditional heteroscedasticity of the yen-dollar exchange rate (replicati...
This paper examines the conditional heteroscedasticity of the yen-dollar exchange rate. A model is constructed by extending the asymmetric power autoregressive conditional... -
Understanding spot and forward exchange rate regressions (replication data)
Using the Kalman filter, we obtain maximum likelihood estimates of a permanent-transitory components model for log spot and forward dollar prices of the pound, the franc, and... -
Stochastic trends, deterministic trends, and business cycle turning points (r...
This study examines the relationship between specifications for long-run output patterns and specifications for business cycle dynamics. In an application to US GDP, it is found... -
Is there a unit root in the inflation rate? Evidence from sequential break an...
Using sequential trend break and panel data models, we investigate the unit root hypothesis for the inflation rates of thirteen OECD countries. With individual country tests, we... -
HETEROGENEITY, EXCESS ZEROS, AND THE STRUCTURE OF COUNT DATA MODELS (replicat...
This paper demonstrates that the unobserved heterogeneity commonly assumed to be the source of overdispersion in count data models has predictable implications for the... -
SEMI-PARAMETRIC ESTIMATION OF HURDLE REGRESSION MODELS WITH AN APPLICATION TO...
This paper develops a semi-parametric estimation method for hurdle (two-part) count regression models. The approach in each stage is based on Laguerre series expansion for the... -
COUNT DATA REGRESSION USING SERIES EXPANSIONS: WITH APPLICATIONS (replication...
A new class of parametric regression models for both under? and overdispersed count data is proposed. These models are based on squared polynomial expansions around a Poisson... -
STATISTICAL INFERENCE VIA BOOTSTRAPPING FOR MEASURES OF INEQUALITY (replicati...
In this paper we consider the use of bootstrap methods to compute interval estimates and perform hypothesis tests for decomposable measures of economic inequality. Two... -
A PREDICTIVE APPROACH TO MODEL SELECTION AND MULTICOLLINEARITY (replication d...
We argue for the adoption of a predictive approach to model specification. Specifically, we derive the difference between means and the ratio of determinants of covariance... -
Numerical distribution functions for unit root and cointegration tests (repli...
This paper employs response surface regressions based on simulation experiments to calculate distribution functions for some well-known unit root and cointegration test... -
Co-integration constraint and forecasting: An empirical examination (replicat...
Does co-integration help long-term forecasts? In this paper, we use simulation, real data sets, and multi-step-ahead post-sample forecasts to study this question. Based on the... -
Stock market volatility and the business cycle (replication data)
This paper investigates the joint time series behavior of monthly stock returns and growth in industrial production. We find that stock returns are well characterized by... -
Persistence of shocks on seasonal processes (replication data)
The paper addresses the issue of measuring the persistence of shocks on seasonally integrated processes observed at quarterly intervals. We show that the amplitude of the... -
On a double-threshold autoregressive heteroscedastic time series model (repli...
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... -
Panel Estimates of a Two-Tiered Earnings Frontier (replication data)
This paper uses panel data to estimate a two-tiered instead of a one-tiered frontier model. The innovation is to develop a two-step maximum likelihood procedure yielding... -
Erratum: The likelihood ratio test under nonstandard conditions: Testing the ...
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Measuring underlying economic activity (replication data)
Recently, interest in the methodology of constructing coincident economic indicators has been revived by the work of Stock and Watson (1989b). They adopt the framework of the... -
A time series analysis of real wages, consumption and asset returns (replicat...
This paper re-examines whether the time series properties of aggregate consumption, real wages, and asset returns can be explained by a neoclassical model. Previous empirical... -
Money demand revisited: An operational subjective approach (replication data)
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...
