This paper documents the existence of a slowly evolving trend in the dividend-price ratio, dpt, determined by a demographic variable, MY: the middle-aged to young ratio. Deviations of dpt from this long-run component explain transitory but persistent fluctuations in stock market returns. The...

We discuss the use of calibration techniques in economic models. Calibration contrasts with estimation in relying on deterministic calculation of model parameter values consistent with data, rather than econometric estimation. The reasons why calibrators use these methods, as well as the main...

Paper recalls motivation for generalized method of moments (GMM) as well as the idea estimated generalized method of moments. Having demonstrated the danger of underrating the heteroscedasticity of disturbances and recalling Cragg's idea of improvement of estimation under heteroscedasticity, it...

There was a discussion in the years 1964-66 in this journal about the best way to estimate growth rates. Inferential and descriptive methods were carefully carried out and discussed but the opinion of the protagonists remained different. This gap between thinking about theoretical and...

The first section of this paper focusses on the descriptive properties of two measures of dispersion for nominal variables, the measure of entropy and a new positional measure (which positions a given distribution between the two extremes, the distributions with minimal and maximal dispersion)....

We study in this note the class of bilinear processes with periodic time-varying coefficients. We give necessary and sufficient conditions ensuring the existence of strict and second order stationary solutions (in periodic sense) and for the existence of higher order moments. The given...

Causal inference is of central interests in many empirical applications yet often challenging because of the presence of endogenous regressors. The classical approach to the problem requires using instrumental variables that must satisfy the stringent condition of exclusion restriction. At the...