Time-series analysis of effects of pollutants on emergency hospital admissions indicates important synergistic interactions among pollutants and to a lesser degree nonlinearities in effects of single pollutants. Comparisons of alternative econometric specifications are made to determine the...

I present evidence that higher frequency measures of inflation expectations outperform lower frequency measures of inflation expectations in tests of accuracy, predictive power, and rationality. For decades, the academic literature has focused on three survey measures of expected inflation: the...

This is an exploratory study that attempts to identify and provide empirical evidence on the possible determinants of the market capitalisation of the Harare Stock Exchange (HSE) with the view of understanding the development prospects of the HSE and other similar markets. The study used...

The study of the link between debt and growth has been full of debates, both in theory and empirics. However, there is a growing consensus that the relationship is sensitive to the level of debt. Our paper tries to address the question of non linearity in the long term relationship between...

This article analyzes the presence of a price bubble in the new house market for the Greater Santiago. For the above use di®erent methodologies on the Real Housing Prices Index (IRPV) prepared by CEC-CChC, all of which reject the presence of a housing bubble in the concerned market.

We investigate the size of the Durbin-Wu-Hausman tests for exogeneity when instrumental variables violate the strict exogeneity assumption. We show that these tests are severely size distorted even for a small correlation between the structural error and instruments. We then propose a bootstrap...

This paper develops a systematic procedure of statistical inference for the ARMA model with unspecified and heavy-tailed heteroscedastic noises. We first investigate the least absolute deviation estimator (LADE) and the self-weighted LADE for the model. Both estimators are shown to be strongly...

We study two tests for the equality of two population mean vectors under high dimensionality and column-wise dependence by thresholding. They are designed for better power performance when the mean vectors of two populations differ only in sparsely populated coordinates. The first test is...

This paper investigates a quasi-likelihood ratio (LR) test for the thresholds in buffered autoregressive processes. Under the null hypothesis of no threshold, the LR test statistic converges to a function of a centered Gaussian process. Under local alternatives, this LR test has nontrivial...