Modern open-economy macro models emphasise pricing-to-market behaviour. It is possible that domestic pricing behaviour might be affected by import (competitors') prices, and this is a commonly used variable in empirical work on pricing. But there is theoretical ambiguity and a potential...

We examine how to forecast after a recent break. We consider monitoring for change and then combining forecasts from models that do and do not use data before the change; and robust methods, namely rolling regressions, forecast averaging over different windows and exponentially weighted moving...

We examine how to forecast after a recent break. We consider monitoring for change and then combining forecasts from models that do and do not use data before the change; and robust methods, namely rolling regressions, forecast averaging over different windows and exponentially weighted moving...

Detection of structural change is a critical empirical activity, but continuous 'monitoring' of time series for structural changes in real time raises well-known econometric issues. These have been explored in a univariate context. If multiple series co-break, as may be plausible, then it is...

We examine how to forecast after a recent break. We consider monitoring for change and then combining forecasts from models that do and do not use data before the change; and robust methods, namely rolling regressions, forecast averaging over different windows and exponentially weighted moving...

Several ways of modelling non-linear state space models have been suggested. The extended Kalman Filter is a tractable way of doing so. One application is to consumer durable demand. Models explaining this flow are normally conditioned on the stock. For the UK, measures of the stock are...

From neoclassical theory output, capital stock and the user cost are cointegrated; capital and investment also (multi)cointegrate through the capital accumulation identity. An investment equation is estimated on UK data using a new capital stock series and a long series for the weighted cost of...

Manufacturing price markup equations are estimated for 15 OECD countries using annual data. Firms have CES production technology. The markup depends on demand, competitors' prices and uncertainty. Cointegration is tested with the Pedroni tests and a panel version of the Johansen test, and...

We consider time series forecasting in the presence of ongoing structural change where both the time series dependence and the nature of the structural change are unknown. Methods that downweight older data, such as rolling regressions, forecast averaging over different windows and exponentially...

Output fell sharply in the United Kingdom during the recent global financial crisis, some of which is likely to have reflected a contraction in the economy’s supply capacity. This article considers the impact of financial crises on supply and the potential channels through which supply may...