R. F. Engle's autoregressive conditional heteroskedastic model is extended to permit parametric specifications for conditional dependence beyond the mean and variance. The suggestion is to model the conditional density with a small number of parameters, and then model these parameters as...

The article proposes a technique, based on the predictive density of the data, conditional on the parameters of the model, to jointly tests for groups of unknown size in a panel and to estimate the parameters of each group. The procedure is applied to the problem of identifying convergence clubs...

This paper describes a Monte Carlo procedure to evaluate dynamic nonlinear general equilibrium macro models. The procedure makes the choice of parameters and the evaluation of the model less subjective than standard calibration techniques, it provides more general restrictions than estimation by...

This article presents a method to estimate the coefficients, to test specification hypotheses, and to conduct policy exercises in multicountry Vector Autoregressive (VAR) models with cross-unit interdependencies, unit-specific dynamics, and time variations in the coefficients. The framework of...

This paper formally examines the implications of international consumption risk sharing for a panel of industrialized countries. The authors theoretically derive the international consumption insurance proposition in a simple setup and show how to modify it in more complicated models. They...

This paper investigates the generation and the propagation mechanism of currency demand and supply shocks before and after World War I, the structural determinants of the variability of stock prices and interest rates, and the changes introduced by the creation of the Fed on the dynamics of the...