The General Linear Model (GLM) is the parent model of econometrics. Simultaneous equations and seemingly unrelated regression equation (SURE) models, to name but a few, can be formulated as a GLM. The estimation of the GLM can be viewed as a Generalized Linear Least-Squares problem (GLLSP). The...

Vector Autoregressive processes of order p (VAR(p)) with coefficient restrictions can be formulated as a SURE model. The response vectors and the coefficient matrices of the regression equations comprise columns from a Toeplitz matrix. Numerical and computational methods that solve the SURE...

Nash equilibrium is the point of departure of most of the standard literature on public goods. This stresses the sub-optimality of voluntary contributions towards the provision of a public good: in game theoretic terms, with unboundedly rational agents, individual best response is no cooperation...

The Dutch social security system is quite elaborate. From a budget point of view, it is divided in two parts. The larger part is financed by insurance premiums, the remainder by taxes. The insurance part takes care for allowances for people with little or no income: the elder, the disabled, the...

Time series are frequently affected by different unexpected events such as revolution, war, strike, etc. We call these external events interventions (or structural change) which should be detected and considered carefully in statistical analysis.In this research both parametric and...

We consider regressions of nonstationary fractionally integrated variables dominated by linear time trends. The regression errors can be short memory, long memory, or even nonstationary, and hence allow for a very flexible cointegration model. Our main contributions are two: First, we analyze...

In this paper, we examine the performance of the Troll Stacked- time algorithm in the simulation of large scale overlapping generations (OLG) models. At each period of time, the number of equations is proportional to the individual length of lifetime. The model size and the data requirements may...

With SUM, a Surprising (Un)realistic Market, we are dealing with the micro-foundations of a stock market. We avoid any artificially simplified solution about price formation, such as to employ an auctioneer to clear the market; on the contrary, our model produces time series of prices...

The paper extends the literature of the dynamic rational expectations commodity storage model, to the case where speculators (speculative stocks) and processing firms (working stocks) are stockholders.So far the literature has been focused on solving the storage model for each type of...

This paper analyses optimal monetary policy in a linearised open-economy dynamic general equilibrium model with sticky prices. The model extends a version of the new-Keynesian closed economy model discussed in Rotemberg and Woodford (1997), Goodfriend and King (1997) and Clarida, Gali and...