This discussion paper resulted in an article in the <I>Oxford Bulletin of Economics and Statistics</I> (2008). Vol. 70 issue 1, pages 23-51.<P> This paper investigates business cycle relations among different economies in theEuro area. Cyclical dynamics are explicitly modelled as part of a time series...</p></i>

In this paper we investigate whether the dynamic properties of the U.S. business cycle have changed in the last fifty years. For this purpose we develop a flexible business cycle indicator that is constructed from a moderate set of macroeconomic time series. The coincident economic indicator is...

This paper conducts an empirical analysis of the heterogeneity of recessions in monthly U.S. coincident and leading indicator variables. Univariate Markov switching models indicate that it is appropriate to allow for two distinct recession regimes, corresponding with ‘mild’ and ‘severe’...

This discussion paper led to a publication in the <I>Journal of Applied Econometrics</A>. Vol. 19, issue 5, pages 611-636.<P> Convergence in gross domestic product series of five European countriesis empirically identified using multivariate time series models that arebased on unobserved components with...</p></i>

This paper proposes a new model-based method to obtain a coincident indicator for the business cycle. A dynamic factor model with trend components and a common cycle component is considered which can be estimated using standard maximum likelihood methods. The multivariate unobserved components...

Countless test statistics can be written as quadratic forms in certain random vectors, or ratios thereof. Consequently, their distribution has received considerable attention in the literature. Except for a few special cases, no closed-form expression for the cdf exists, and one resorts to...

This discussion paper resulted in a publication in <I>Econometric Reviews</I>. Vol. 33(1-4), 3-35.<P> We discuss Bayesian inferential procedures within the family of instrumental variables regression models and focus on two issues: existence conditions for posterior moments of the parameters of interest...</p></i>

A class of adaptive sampling methods is introduced for efficient posterior and predictive simulation. The proposed methods are robust in the sense that they can handle target distributions that exhibit non-elliptical shapes such as multimodality and skewness. The basic method makes use of...

A Direct Monte Carlo (DMC) approach is introduced for posterior simulation in theInstrumental Variables (IV) model with one possibly endogenous regressor, multipleinstruments and Gaussian errors under a flat prior. This DMC method can also beapplied in an IV model (with one or multiple...