A large number of microeconomic decision variables such as investments, prices, inventories or employment are characterized by intermittent large adjustments. The behavior of those variables has been often modeled as following state-dependent rules. The optimality of such state-dependent rules...

Conventional time series analysis, focusing exclusively on a time series at a given scale, lacks the ability to explain the nature of the data generating process. A process equation that successfully explains daily price changes, for example, is unable to characterize the nature of hourly price...

This article presents a comparative analysis of four macroeconometric models whose proprietors participated in a model comparison conference focused on the new euro area economy. One model, the Area-Wide Model recently developed at the European Central Bank, treats the whole area as a single...

In this paper we provide an explicit characterization of the escape dynamics for the Phellps problem of government controlling inflation with adaptive learning of the approximate Phillips curve, alternative to the one considered by Cho, Williams and Sargent (2002) (CWS in sequel). Our approach...

This paper proposes unit root tests based on partially adaptive estimation. The proposed tests provide an intermediate class of inference procedures that are more efficient than the traditional OLS-based methods and simpler than unit root tests based on fully adaptive estimation using...

This paper considers tests of misspecification in a heteroscedastic transformation model. We derive Lagrange multiplier (LM) statistics for (i) testing functional form and heteroscedasticity jointly, (ii) testing functional form in the presence of heteroscedasticity, and (iii) testing...

The recent literature on “convergence� of cross-country per capita incomes has been dominated by two competing hypotheses: “global convergence� and “club-convergence�. This debate has recently relied on the study of limiting...

We introduce a new approximation method for the distribution of functions of random variables that are real-valued. The approximation involves moment matching and exploits properties of the class of normal inverse Gaussian distributions. In the paper we we examine the how well the different...

This paper considers tests of misspecification in a heteroscedastic transformation model. We derive Lagrange multiplier (LM) statistics for (i) testing functional form and heteroscedasticity jointly, (ii) testing functional form in the presence of heteroscedasticity, and (iii) testing...