Economic policy decisions are often informed by empirical economic analysis. While the decision-maker is usually only interested in good estimates of outcomes, the analyst is interested in estimating the model. Accurate inference on the structural features of a model, such as cointegration, can...

This paper proposes a Structural Error Correction Model (SECM) that allows concurrent estimation of the structural parameters and analysis of cointegration. We amalgamate the Bayesian methods of Kleibergen and Paap (2002) for analysis of cointegration in the ECM, and the Bayesian methods of...

Inference on ordinary unit roots, seasonal unit roots, seasonality and business cycles are fundamental issues in time series econometrics. This paper proposes a novel approach to inference on these features by focusing directly on the roots of the autoregressive polynomial rather than taking the...

Abstract In many areas of economic analysis, economic theory restricts the shape as well as other characteristics of functions used to represent economic constructs. Obvious examples are the monotonicity and curvature conditions that apply to utility, profit, and cost functions. Commonly, these...

We construct higher order expressions for Wald and Lagrange multiplier (LM) GMM statistics that are based on 2step and continuous updating estimators (CUE). We show that the sensitivity of the limit distribution to weak and many instruments results from superfluous elements in the higher order...

What brings persistence into the macroeconomy? This is one of the big unresolved issues in current macroeconomic theory. Economic models, in fact, typically struggle to imply levels of persistence comparable to those observed in the data. Most of the persistence is therefore introduced by highly...

A general Bayesian Markov Chain Monte Carlo methodology is utilized for conducting an analysis of the intensity process of stock market data. The sampling scheme employed is a hybrid of the Gibbs and Metropolis Hastings algorithms. Both duration and count data time series approaches are utilized...

The usual index of leading indicators has constant weights on its components and is therefore implicitly premised on the assumption that the dynamical properties of the economy remain the same over time and across phases of the business cycle. We explore the possibility that the business cycle...

We show that the higher order biases of instrumental variable statistics in the strong instrument case indicate the degeneracy of the first order asymptotic distributions of these statistics under weak or many instrument asymptotics. We express the higher order approximations using an estimator...

We consider the estimation of a large number of GARCH models, say of the order of several hundreds. Especially in the multivariate case, the number of parameters is extremely large. To reduce this number and render estimation feasible, we regroup the series in a small number of clusters. Within...