The multivariate reduced rank regression model plays an important role in econo- metrics. Examples include co-integration analysis and models with a factor struc- ture. Geweke (1996) provided the foundations for a Bayesian analysis of this model. Unfortunately several of the full conditional...

With prospective payment of hospitals becoming more common, measuring their performance is gaining in importance. However, the standard cost frontier model yields biased efficiency scores because it ignores technological heterogeneity between hospitals. In this paper, efficiency scores are...

Several European countries have followed the United States in introducing prospective payment for hospitals with the expectation of achieving cost efficiency gains. This article examines whether theoretical expectations of cost efficiency gains can be empirically confirmed. In contrast to...

This study investigates reactions to real exchange rate changes in the German, French and UK automobile and mechanical engineering sectors using monthly data from 1995 to 2010. Our findings indicate that EUR/USD appreciations hamper exports, but do not necessarily imply an aggravated business...

In the face of the dramatic economic events of recent months and the inability of academics and policymakers to prevent them, the New Consensus Macroeconomics (NCM) model has been the subject of several criticisms. This paper considers one of the main criticisms lodged against the NCM model,...

Graph-theoretic methods of causal search based in the ideas of Pearl (2000), Spirtes, Glymour, and Scheines (2000), and others have been applied by a number of researchers to economic data, particularly by Swanson and Granger (1997) to the problem of finding a data-based contemporaneous causal...

Multivariate random sums appear in many scientific fields, most notably in actuarial science, where they model both the number of claims and their sizes. Unfortunately, they pose severe inferential problems. For example, their density function is analytically intractable, in the general case,...

We assess the role of financial linkages for the transmission of sovereign risk in the Euro Crisis. Building on the narrative approach by Romer and Romer (1989), we use financial news to identify structural shocks in a VAR model of daily sovereign CDS for eleven European countries. To estimate...

Suppose that (X,A) is a measurable space and Y is a metrizable, Souslin space. Let Au denote the universal completion of A. Given f : X x Y !R and x 2 X, let f (x,xc) be the lower semicontinuous hull of f (x,xc). If f is (Au B(Y),B(R))-measurable, then f is (Au B(Y),B(R))-measurable.

The traditional causality relationship proposed by Granger (1969) assumes the relationships between variables are short range dependent with the same integrated order. Chen (2006) proposed a bi-variate model which can catch the long-range dependent among the two variables and the series do not...