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...

This paper is concerned with specification for modelling financial leverage effect in the context of stochastic volatility (SV) models. Two alternative specifications co-exist in the literature. One is the Euler approximation to the well known continuous time SV model with leverage effect and...

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...

Kernel density estimation for multivariate data is an important technique that has a wide range of applications in econometrics and finance. However, it has received significantly less attention than its univariate counterpart. The lower level of interest in multivariate kernel density...

This paper presents Bayesian methodology for the estimation of a bivariate probit model with an endogenous effect and both parametric linear and flexible semiparametric exogenous effects. The model is prompted by an analysis of the utilisation of health services in Australia using data from the...

This paper is concerned with specification for modelling financial leverage effect in the context of stochastic volatility (SV) models. Two alternative specifications co-exist in the literature. One is the Euler approximation to the well known continuous time SV model with leverage effect and...

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 bootstrap versions of the seasonal unit root tests of, inter alia, Hylleberg, Engle, Granger and Yoo (1990,Journal of Econometrics 55, 305-328)[HEGY]. We report a simulation study of the properties of both the conventional and bootstrapped seasonal unit root tests when...

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...