This work describes a versatile and readily-deployable sensitivity analysis of an ordinary least squares (OLS) inference with respect to possible endogeneity in the explanatory variables of the usual k-variate linear multiple regression model. This sensitivity analysis is based on a derivation...

We define a dynamic and self-adjusting mixture of Gaussian Graphical Models to cluster financial returns, and provide a new method for extraction of nonparametric estimates of dynamic alphas (excess return) and betas (to a choice set of explanatory factors) in a multivariate setting. This...

In this paper, we borrow some of the key concepts of nonequilibrium statistical systems, to develop a framework for analyzing a self-organizing-optimizing system of independent interacting agents, with nonlinear dynamics at the macro level that is based on stochastic individual behavior at the...

We estabilsh the relationships between certain Bayesian and classical approaches to instrumental variables regression. We determine the form of priors that lead to posteriors for structural paameters that have similar properties as classical 2SLS and LIML and in doing so provide some new insight...

Deconvolving kernel estimators when noise is Gaussian entail heavy calculations. In order to obtain the density estimates numerical evaluation of a specific integral is needed. This work proposes an approximation to the deconvolving kernel which simplifies considerably calculations by avoiding...

This paper develops a new test for speculative bubbles, which is applied to data for the Japanese yen, the German mark and the Canadian dollar exchange rates from 1977 to 1991. The test assumes that bubbles display aparticular kind of regime-switching behaviour, which is shown to imply...

This exercice provides all eigenvalues and eigenvectors of the autoregressive matrix found in classical recursive least square theory.

There are both positive and negative aspects to liberalisation policies. Liberalisation policies are no less important than any other kind of economic policies, and so it can only be healthy that what was formerly an obscure and technocratic process has moved to centre-stage politically....

The significance of stability of P.C.I. (Price consumer index) is reported in the situation of economy in which the price consumer index does not present tendencies of important change so much to inflation,- as down,- deflation. This is also the aim of E.E. (European Union), to maintain in a...