This paper proposes a method for estimating the probability density of a variable of interest in the presence of model ambiguity. In the first step, each candidate parametric model is estimated minimizing the Kullback-Leibler "distance" (KLD) from a reference nonparametric density estimate....

The termstructure of interest rates is an instrument that gives us the necessary information for valueing deterministic financial cash flows, measuring the economic market expectations and testing the effectiveness of monetary policy decissions. However, it is not directly observable and needs...

This paper uses an unobserved component model to examine the relative importance of the structural and the persistence approach to unemployment. We derive the NAIRU from a standard imperfect competition model. The price- and wage-setting schedules include a measure for unemployment persistence....

The asymptotic distribution of the QML estimator for GARCH processes, with coefficients possibly equal to zero, is established. This distribution is the projection of a normal vector distribution onto a convex cone. The results are derived under mild conditions which, for important subclasses,...

This paper concentrates on evaluating current econometric practices for estimating parameters of the Phillips curve (price stickiness, back-looking component, etc). Standard practices do not recognize the key role that monetary policy may have on shaping the results obtained

Recent empirical studies have demonstrated that behaviour of interest rate processes can be better explained if standard diffusion processes are augmented with jumps in the interest rate process. In this paper we examine the performance of both linear and non-linear one factor CKLS model in the...

Sometimes numerical failure of an econometric software package is quite stark: a nonlinear procedure fails to converge; illegal arguments to a function cause an abnormal end; matrices cannot be inverted. Other times a package fails without warning, and these types of failures are particularly...