Davidson et al.'s data set is used to demonstrate the existence of a significant asymmetry in the adjustment of consumption towards equilibrium. The Granger-Lee and Escribano-Pfann methods of partitioning the error correction term are compared and it is shown that the latter produces better...

This paper presents some simulation results for a small Structural Vector Autoregression model of the interaction between real output and prices for the UK economy. The model is estimated using quarterly data over the period 1966:2 to 1995:4. The effects of alternative identifying restrictions...

This article presents Monte Carlo simulations which compare the empirical performance of two alternative single equation estimators of the equilibrium parameters in a dynamic relationship. The estimators considered are Stock and Watson's Dynamic Ordinary Least Squares (DOLS) estimator and...

Empirical estimation of Phillips curve relationships typically indicates the presence of parameter instability. This is argued to be due to the fact that the parameters of these equations are reduced form rather than structural parameters. Estimation of a Phillips curve model by methods which...

This article derives an optimal Taylor rule for the UK economy using a simple estimated model based on data prior to the financial crisis of 2008. Optimal policy rules are calculated using simulation of the model over a long time period coupled with a search for optimal Taylor rule parameters...

This paper presents estimates of price functions for beef, lamb and pork for the UK economy which allow for the effects of the 1996 BSE crisis. The estimates illustrate the importance of allowing for the joint endogeneity of prices in these markets. This shown that the effects of this crisis had...

Critical values for a test for cointegration are generated based on the joint significance of the levels terms in an error-correction equation. It is shown that the appropriate critical values are higher than those derived from the standard F-distribution. The power properties of this test are...