In this note, we consider the contradiction between the fact that the best fit for the UK consumption data in Davidson et al. (1978) is obtained using an equation with an intercept but without an error correction term, whereas the equation with error correction and without the intercept has...

This paper examines aggregate savings in a general equilibrium model where infinitely lived households face volatile (and possibly uncertain) income paths, hold a risk-free asset, and face a liquidity constraint. I first show that the equilibrium capital stock in an economy without uncertainty,...

It is not unusual in real-life that one has to choose among finitely many alternatives when the merit of each alternative is not perfectly known. This may be the case when an individual chooses school, doctor or pension plan, or when a firm chooses between alternative R&D projects. Instead of...

This paper examines the relation between prices in conventional stores and on the Internet. Main results from the theoretical analysis are i) we expect a discrete fall in prices in conventional stores as the share of the population with access to Internet reaches a critical level, ii) the...

Over recent years, several nonlinear time series models have been proposed in the literature. One model that has found a large number of successful applications is the threshold autoregressive model (TAR). The TAR model is a piecewise linear process whose central idea is to change the parameters...

In this paper we show the consequences of applying a panel unit root test when testing for a purchasing power parity relationship. The distribution of the tests investigated, including the IPS test of Im et al (1997), are influenced by a common stochastic trend which is usually not accounted...

Changes in the seasonal patterns of macroeconomic time series may be due to the effects of business cycle fluctuations or to technological and institutional change or both. We examine the relative importance of these two sources of change in seasonality for quarterly industrial production series...

This paper is concerned with efficient GMM estimation and inference in GARCH models. Sufficient conditions for the estimator to be consistent and asymptotically normal are established for the GARCH(1,1) conditional variance process. In addition efficiency results are obtained in the general...