This article addresses heterogeneity in determinants of economic growth in a data-driven way. Instead of defining groups of countries with different growth characteristics <italic>a priori</italic>, based on, for example, geographical location, we use a finite mixture panel model and endogenous clustering to...

The finite sample properties of the state space methods applied to long memory time series are analyzed through Monte Carlo simulations. The state space setup allows to introduce a novel modeling approach in the long memory framework, which directly tackles measurement errors and random level...

The persistent nature of equity volatility is investigated by means of a multi-factor stochastic volatility model with time varying parameters. The parameters are estimated by means of a sequential matching procedure which adopts as an auxiliary model a time-varying generalization of the HAR...

Stylized facts show that average growth rates of US per capita consumption and income differ in recession and expansion periods. Since a linear combination of such series does not have to be a constant mean process, standard cointegration analysis between the variables to examine the permanent...

Changing time series properties of US inflation and economic activity, measured as marginal costs, are modeled within a set of extended Phillips Curve (PC) models. It is shown that mechanical removal or modeling of simple low frequency movements in the data may yield poor predictive results...

This discussion paper resulted in a publication in the <A href="http://onlinelibrary.wiley.com/doi/10.1002/jae.2411/full">'Journal of Applied Econometrics'</A>, 2014, 29(7), 1164-1182.<P> Changing time series properties of US inflation and economic activity, measured as marginal costs, are modeled within a set of extended Phillips Curve (PC) models. It is shown that...</p></a>

This discussion paper resulted in an article in the <I>Journal of Business & Economic Statistics</I> (2003). Volume 21, pages 547-563.<P> Stylized facts show that the average growth rates of US per capitaconsumption and income differ in recession and expansion periods.Since a linear combination of such...</p></i>

This paper starts with a brief description of the introduction of the likelihood approach in econometrics as presented in Cowles Foundation Monographs 10 and 14. A sketch is given of the criticisms on this approach mainly from the first group of Bayesian econometricians. Publication and citation...

After a brief description of the first Bayesian steps into econometrics in the 1960s and early 70s, publication and citation patterns are analyzed in ten major econometric journals until 2012. The results indicate that journals which contain both theoretical and applied papers, such as Journal...