This paper studies the smooth transition regression model where regressors are I(1) and errors are I(0). The regressors and errors are assumed to be dependent both serially and contemporaneously. Using the triangular array asymptotics, the nonlinear least squares estimator is shown to be...

In this paper, we abandon the stylized median voter and study (i) how distributional tensions can act in many different ways depending on social affinity and on the prospect of upward or downwardmobility of the different income classes, (ii) income distribution dynamics, intergenerational...

Dismissal rules, i.e. legally enforced long term contracts, have beem defended against criticism for, among other things, providing efficient incentives to invest in relationship specific skills. However, in many situations efficient investment can also be attained by spot contracts. We...

We consider problems in modelling job-matching in the Czech Republic during the transition to a market economy. Special interest is devoted to functional form considerations and the analysis of returns to scale of the matching function. This explorative study aims to shed some light into the...

We consider an additive model with second order interaction terms. It is shown how the components of this model can be estimated using marginal integration, and the asymptotic distribution of the estimators is derived. Moreover, two test statistics for testing the presence of interactions are...

We emphasize the importance of properly identifying the long-run relations underlying the monetary model of the exchange rate. The separate estimation of long-run money demands leads to a "structural" error correction equation which allows an interpretation of the various channels affecting the...

East-West migration in Germany peaked at the beginning of the 90s although the average wage gap between Eastern and Western Germany continues to average about 25%. We analyze the propensity to migrate using microdata from the German Socioeconomic Panel. Fitting a parametric Generalized Linear...

We show in the paper that the decomposition proposed by Beveridge and Nelson (1981) for models that are integrated of order one can be generalized to seasonal Arima models by means of a partial fraction decomposition. Two equivalent algorithms are proposed to optimally (in the mean squared...

We establish a relation between stochastic volatility models and the class of generalized hyperbolic distributions. These distributions have been found to fit exceptionally well to the empirical distribution of stock returns. We review the background of hyperbolic distributions and prove...