We present a simple new methodology to allow for time variation in volatilities using a recursive updating scheme similar to the familiar RiskMetrics approach. We update parameters using the score of the forecasting distribution rather than squared lagged observations. This allows the parameter...

A simple methodology is presented for modeling time variation in volatilities and other higher order moments using a recursive updating scheme similar to the familiar RiskMetrics approach. We update parameters using the score of the forecasting distribution. This allows the parameter dynamics to...

Dams are essential for water storage and hydropower generation, but change river flow patterns and endanger local environments. Dam projects may further exacerbate already existing problems in trans-boundary rivers. We consider three scenarios of institutional factors: (1) each country pursues...

This paper studies what happens when we move from a short regression to a long regression (or vice versa), when the long regression is shorter than the data-generation process. In the special case where the long regression equals the data-generation process, the least-squares estimators have...

This paper provides a new way of analyzing tenure profiles in wages, by modelling simultaneously the evolution of wages and the distribution of tenures. Starting point is the observation that within-job log wages for an individual can be described by random walk. We develop a theoretical model...

This paper develops a Markov-Switching vector autoregressive model that allows for imperfect synchronization of cyclical regimes in multiple variables, due to phase shifts of a single common cycle. The model has three key features: (i) the amount of phase shift can be different across regimes...

This paper conducts an empirical analysis of the heterogeneity of recessions inmonthly U.S. coincident and leading indicator variables. Univariate Markovswitchingmodels indicate that it is appropriate to allow for two distinct recessionregimes, corresponding with ‘mild’ and ‘severe’...

Many products and services can be described as mixtures of ingredients whose proportions sum to one. Specialized models have been developed for linking the mixture proportions to outcome variables, such as preference, quality and liking. In many scenarios, only the mixture proportions matter for...