This paper develops a long-run growth model for a major oil exporting economy and derives conditions under which oil revenues are likely to have a lasting impact. This approach contrasts with the standard literature on the "Dutch disease" and the "resource curse", which primarily focuses on...

This paper presents two generalisations of the existing cointegration analysis literature. Firstly, the problem of efficient estimation of vector error correction models containing I(1) exogenous variables is considered and the asymptotic distributions of the log-likelihood ratio statistics for...

In econometric analysis, non-nested models arise naturally when rival economic theories are used to explain the same phenomenon, such as unemployment, inflation or output growth. The authors examine the problem of hypothesis testing when the models under consideration are ‘non-nested’ or...

This paper provides a general framework for aggregating linear dynamic models by deriving the aggregate model as an optimal prediction of the aggregate variable of interest with respect to an aggregate information set generated by current and past values of available aggregate observations. The...

This survey uses a number of recent developments in the analysis of cointegrating Vector Autoregressions (VAR) to examine the links to the older structural modelling traditions using Autoregressive Distributed Lag (ARDL) and Simultaneous Equations Models (SEM). In particular, it emphasises the...

Using a recursive modelling procedure which generalises existing methods for simulating investors' search in `real time' for a model that can forecast stock returns, the authors demonstrate the extent to which monthly stock returns in the UK were predictable during the period 1970-1993. Owing to...

This paper develops a new approach to testing for the existence of a linear long-run relationship, when the orders of integration of the underlying regressors are not known with certainty. The test is the standard Wald or F statistic for testing the significance of the lagged levels of the...

The use of residuals from the structural equations in a simultaneous-equations model can lead to misleading measures of association and to invalid diagnostic statistics for heteroscedasticity and functional form misspecifications. The issue of appropriate measures of goodness-of-fit for IV...

This paper considers the solution of nonlinear rational expectations models resulting from the optimality conditions of a finite-horizon intertemporal optimisation problem satisfying Bellman's principle of optimality (and possibly involving inequality constraints). A backward recursive procedure...

This paper considers the small sample properties of the mean group estimator of the long-run coefficients in dynamic heterogeneous panels, and using Monte Carlo techniques examines the effectiveness of a number of alternative bias-correction procedures in reducing the small sample bias of these...