The extraction of a common signal from a group of time series is generally obtained using variables recorded with the same frequency or transformed to have the same frequency (monthly, quarterly, etc.). The statistical literature has not paid a great deal of attention to this topic. In this...

This is an exploratory study that attempts to identify and provide empirical evidence on the possible determinants of the market capitalisation of the Harare Stock Exchange (HSE) with the view of understanding the development prospects of the HSE and other similar markets. The study used...

This survey reviews diverse academic production on compositional dynamic series analysis. Although time dimension of compositional series has been little investigated, this kind of data structure is widely available and utilized in social sciences research. This way, a review of the...

In recent years, wavelets have become widely used in physics, engineering, and mathematics. They have been used for signal processing, image processing, numerical computation, and data compression. Wavelets have not, however, been used very much in the fields of Economics, Econometrics, and...

We present several Markov chain Monte Carlo simulation methods that have been widely used in recent years in econometrics and statistics. Among these is the Gibbs sampler, which has been of particular interest to econometricians. Although the paper summarizes some of the relevant theoretical...

The essential idea of equilibrium search models of labour market behaviour is that wage policy matters. In contrast, the stylized neoclassical competitive model predicts that firms paying a wage above the competitive equilibrium will disappear; those offering less will attract no workers. The...

We have collected data on the one-year-ahead income expectations of members of American households in our Survey of Economic Expectations (SEE), a module of a national continuous telephone survey conducted at the University of Wisconsin. The income- expectations questions take this form: "What...

The authors examine the issue of lag-length selection in the context of a structural vector autoregression (VAR) and a vector error-correction model with long-run restrictions. First, they show that imposing long- run restrictions implies, in general, a moving-average (MA) component in the...

The paper provides three principal results. First, we benchmark South African infrastructure performance in terms of access, pricing, and quality against key comparator groups of countries using the most recent World Bank benchmarking data base (2005). Second, we establish clear empirical links...

This statement outlines the objectives and policies of the new journal, Macroeconomic Dynamics, which is dedicated to the advancement of macroeconomics as a science. This Editorial is to appear at the front of the first issue of that journal and is copyright by Cambridge University Press.