We quantify the amount of cross-sectional income and consumption smoothing achieved within subgroups of states, such as regions or clubs, e.g. the club of rich states. We find that there is much income smoothing between as well as within regions. By contrast, consumption smoothing occurs mainly...

We examine the effect of increased demand for social insurance on church membership.Our empirical strategy exploits the differential impact of the Great Mississippi Flood of 1927 across counties to identify a shock to the demand for social insurance. We find that flooded counties experienced a...

An overview of results for the cointegrated VAR model for nonstationary I(1) variables is given. The emphasis is on the analysis of the model and the tools for asymptotic inference. These include: formulation of criteria on the parameters, for the process to be nonstationary and I(1),...

Consistency and asymptotic normality are established for the maximum likelihood estimators in the nonstationary ARCH and GARCH models with general t-distributed innovations. The results hold for joint estimation of (G)ARCH effects and the degrees of freedom parameter parametrizing the...

Theories of economic growth hypothesize that the transition from pre-industrial stagnation to sustained growth is associated with a post-Malthusian phase in which technological progress raises income and spurs population growth while offsetting diminishing returns to labor. Evidence suggests...

In this paper, we study the determinants of order aggressiveness and traders' order submission strategy in an open limit order book market. Using order book data from the Australian Stock Exchange, we model traders' aggressiveness in market trading, limit order trading as well as in order...

This paper presents likelihood analysis of the I(2) cointegrated vector autoregression with piecewise linear deterministic terms. Limiting behavior of the maximum likelihood estimators are derived, which is used to further derive the limiting distribution of the likelihood ratio statistic for...

Some key econometric concepts and problems addressed by Trygve Haavelmo and Ragnar Frisch are discussed within the general framework of a cointegrated VAR. The focus is on problems typical of time series data such as multicollinearity, spurious correlation and regression results, time dependent...

A two-sector Malthusian model is formulated in terms of a cointegrated vector autoregressive (CVAR) model on error correction form. The model allows for both agricultural product wages and relative prices to affect fertility. The model is estimated using new data for the pre-industrial period in...

We propose a discrete-time multivariate model where lagged levels of the process enter both the conditional mean and the conditional variance. This way we allow for the empirically observed persistence in time series such as interest rates, often implying unit-roots, while at the same time...