This paper provides a Bayesian analysis of Autoregressive Fractionally Integrated Moving Average (ARFIMA) models. We discuss in detail inference on impulse responses, and show how Bayesian methods can be used to (i) test ARFIMA models against ARIMA alternatives, and (ii) take model uncertainty...

Many production processes yield both good outputs and undesirable ones (e.g. pollutants). In this paper, we develop a generalization of a stochastic frontier model which is appropriate for such technologies. We discuss efficiency analysis and, in particular, define technical and environmental...