The main objective of this study is to investigate the rebustness of the popular Durbin-Watson (DW), Langrage multiplier (LM), Box-Pierce (BP) and Ljung-Box (LB) tests and their corrected versions against autoregressive distrurbances in the presence of dynamic heteroscedastic disturbances with...

We use the model developed in Sarin and Vahid (1999, GEB) to explain the experiments reported in Erev and Roth (1998, AER). The model supposes that players maximize subject to their "beliefs" which are non-probabilistic and scalar-valued. They are intended to describe the payoffs the players...

The problem considered in this paper is how to find reliable prediction intervals with simple exponential smoothing and trend corrected exponential smoothing. Methods for constructing prediction intervals based on linear approximation and bootstrapping are proposed.

The Consumer Panel of Australia data collected by the Roy Morgan Research Centre is used to investigate the determinantes of brand choice behavior in the laundry detergent market.

It is well known that the usual techniques for estimating random and fixed effects panel data models are inconsistent in the dynamic setting. As a consequence, numerous consistent estimators have been proposed in the literature. However, all such estimators rely on certain well defined...

This paper is concerned with model selection based on penalized maximized log likelihood function. Its main emphasis is on how these penalities might be chosen in small samples to give good statistical properties.

A Bayesian approach is presented for nonparametric estimation of an additive regression model with autocorrelated errors.

This paper considers the construction of model selection procedures based on choosing the model with the largest maximised log-likelihood mimus a penalty, when key parameters are restricted to be in a closed interval. The approach adopted is based on King et al.'s (1995) representative models...

The gravity model has long been used fro modelling and predicting trade flows. This paper generalises the gravity model allowing for proper representation of local and target country effects and also the business cyles.