In this paper, I first show how aggregation over submarkets that exhibit varying degrees of disequilibrium can provide a foundation to the classic "short-side" disequilibrium econometric model of Fair and Jaffee [11]. I then introduce explicit randomness in the aggregative model as arising from...

This paper estimates, using stochastic simulation and a multicountry macroeconometric model, the fraction of the forecast-error variance of output changes and the fraction of the forecast-error variance of inflation that are due to unpredictable asset-price changes. The results suggest that...

Countries' military expenditures differ greatly across both space and time. This study examines the determinants of military spending, with particular reference to the importance of the external security environment. Using the liberal-realist model of international relations, we first estimate...

This paper concerns the gains from international trade in risky assets, with an application to the United States and Japan. I examine the role of international financial markets in diversifying the risks associated with the aggregate consumption opportunities of a nation (social risk) and the...

A model for U.S. macroeconomic time series that has been used for forecasting for several years is described in some detail. The model is a multivariate Bayesian autoregression, with allowance for conditional heteroskedasticity, stochastic time-variation in parameters, and non-normality of...

Let P_{r} denote the convex hull of the integer points in the disc of radius r. We prove that the number of vertices of P_{r} is essentially r^{2/3} as r approaches infinity.

This paper introduces a semiparametric method of estimating multinomial models that imposes extremely weak monotonicity assumptions about a function of observable characteristics. Previous methods have imposed stronger, typically parametric, conditions on this function. The only assumptions made...

We derive the asymptotic distribution of a new backfitting procedure for estimating the closest additive approximation to a nonparametric regression function. The procedure employs a recent projection interpretation of popular kernel estimators provided by Mammen et al. (1997), and the...

This paper presents the first empirical investigation of the Multifractal Model of Asset Returns ("MMAR"). The MMAR, developed in Mandelbrot, Fisher, and Calvet (1997), is an alternative to ARCH-type representations for modelling temporal heterogeneity in financial returns. Typically,...