Asymptotic and bootstrap tests are studied for testing whether there is a relation of stochastic dominance between two distributions. These tests have a null hypothesis of nondominance, with the advantage that, if this null is rejected, then all that is left is dominance. This also leads us to...

This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to Sharpe (1964) and Lintner (1965), when the number of securities, N, is large relative to the time dimension, T, of the return series. In the case of cross-sectionally correlated...

The current economic crisis requires fast information to predict economic behavior early, which is difficult at times of structural changes. This paper suggests an innovative new method of using data on internet activity for that purpose. It demonstrates strong correlations between keyword...

The time-series approach used in the minimum wage literature essentially aims to estimate a treatment effect of increasing the minimum wage. In this paper, we employ a novel approach based on aggregate time-series data that allows us to determine if minimum wage changes have significant effects...

This paper establishes stylized facts about the cyclicality of real consumer wages and real producer wages in Germany. As detrending methods we apply the deterministic trend model, the Beveridge-Nelson decomposition, the Hodrick-Prescott filter, the Baxter-King filter and the structural time...

Recent research conclude that the GCC economies have failed to address the oil curse. They are far behind other countries, especially those in the G7, which possess huge reserves of oil wealth but have undertaken economic diversification to correct the ill-effects of an oil curse. This paper...

In 2002 we published a paper in which we used state space time series methods to analyse the teenage employment‐federal minimum wage relationship in the US (Bazen and Marimoutou, 2002). The study used quarterly data for the 46 year period running from 1954 to 1999. We detected a small,...

Zimbabwe faces growth and external competitiveness challenges, as indicated by its low trend growth and investment, declining share in the world exports, high current account deficits, and external debt. The stock-flow approach to the equilibrium exchange rate reveals that the real exchange rate...

This paper shows that the structural breaks are an important characteristic of the monthly labor force participation rate (LFPR) series of Australia, Canada and the USA. Therefore we allow for endogenously determined multiple structural breaks in the empirical specifications of fractionally...

Using Dutch time-diary data from 1975-2005 covering over 10,000 respondents for 7 consecutive days each, we show that individuals' sleep time exhibits both variability and volatility characterized by stationary autoregressive conditional heteroscedasticity: The absolute values of deviations from...