Long-run income convergence is investigated in the US context. We employ a novel pair-wise econometric procedure based on a probabilistic definition of convergence. The time-series properties of all the possible regional income pairs are examined by means of unit root and non-cointegration tests...

In this paper we examine long-run house price convergence across US states using a novel econometric approach advocated by Pesaran (2007) and Pesaran et al. (2009). Our empirical modelling strategy employs a probabilistic test statistic for convergence based on the percentage of unit root...

A weighting scheme is proposed to construct a new index of environmental quality based on greenhouse gas (GHG) emissions for different countries using an approach that relies on consistent tests for stochastic dominance (SD) efficiency. The benchmark is an index that is based on the average...

An optimal weighting scheme is proposed to construct a new index of environmental quality for different countries using an approach that relies on consistent tests for stochastic dominance efficiency. The test statistics and the estimators are computed using mixed integer programming methods....

This paper develops a wavelet (spectral) approach to estimate the parameters of a linear regression model where the regressand and the regressors are persistent processes and contain a measurement error. We propose a wavelet filtering approach which does not require instruments and yields...

We study the workings of the factor analysis of high-dimensional data using arti…cial series generated from a large, multi-sector dynamic stochastic general equilibrium (DSGE) model. The objective is to use the DSGE model as a laboratory that allow us to shed some light on the practical...

This study revisits the sectoral shifts hypothesis for the US for the period 1948 to 2011. A quantile regression approach is employed in order to investigate the asymmetric nature of the relationship between sectoral employment and unemployment. Significant asymmetries emerge. Lilien’s...

This study revisits Lilien’s sectoral shifts hypothesis for the US. We employ quantile regression estimation in order to investigate the asymmetric nature of the relationship between sectoral employment and unemployment. Significant asymmetries emerge. Lilien’s dispersion index is...

This paper proposes an infinite hidden Markov model to integrate the regime switching and the structural break dynamics in a single, coherent Bayesian framework. Two parallel hierarchical structures, one governing the transition probabilities and another governing the parameters of the...

Using a long historical dataset, we estimate a Threshold Vector Autoregression (T-VAR) model for the UK based on a financial stress measure, the debt-to-GDP ratio, borrowing costs and real GDP growth. Our model allows for the impact of debt/GDP to vary between periods of high and low economic...