The empirical support for a DSGE type of real business cycle model with two technology shocks is evaluated using a Bayesian model averaging procedure that makes use of a finite mixture of many models within the class of vector autoregressive (VAR) processes. The linear VAR model is extended to...

This paper studies nonlinear cointegration models in which the structural coefficients may evolve smoothly over time. These time-varying coefficient functions are well-suited to many practical applications and can be estimated conveniently by nonparametric kernel methods. It is shown that the...

This paper studies nonlinear cointegration models in which the structural coefficients may evolve smoothly over time. These time-varying coefficient functions are well-suited to many practical applications and can be estimated conveniently by nonparametric kernel methods. It is shown that the...

This paper considers the estimation of a semi-parametric single-index regression model that allows for nonlinear predictive relationships. This model is useful for predicting financial asset returns, whose observed behavior is described by a stationary process, when the multiple non-stationary...

In this paper, we consider a model selection issue in semiparametric panel data models with fixed effects. The modelling framework under investigation can accommodate both nonlinear deterministic trends and cross-sectional dependence. And we consider the so-called "large panels" where both the...

Robust M–estimation uses loss functions, such as least absolute deviation (LAD), quantile loss and Huber’s loss, to construct its objective function, in order to for example eschew the impact of outliers, whereas the difficulty in analysing the resultant estimators rests on the nonsmoothness...

A Bayesian model averaging procedure is presented that makes use of a finite mixture of many model structures within the class of vector autoregressive (VAR) processes. It is applied to two empirical issues. First, stability of the Great Ratios in U.S. macro-economic time series is investigated,...

The empirical support for a real business cycle model with two technology shocks is evaluated using a Bayesian model averaging procedure. This procedure makes use of a finite mixture of many models within the class ofvector autoregressive (VAR) processes. The linear VAR model is extendedto...

In their influential work on the consumption-wealth relationship, Lettau and Ludvigson found that while consumption responds to permanent changes in wealth in the expected manner, most changes in wealth are transitory with no effect on consumption. We investigate the robustness of these results...