This paper compares, by a Monte-Carlo study based on an AR(1) model, the performance of the flat prior and the ignorance prior suggested by Phillips. It argues that the ignorance prior gives heavy weight to values of the autoregressive parameter [rho] higher than 1, and hence distorts the sample...

This paper studies the adequate size of equity premium over different investment horizons based on spatial dominance. We find that the puzzle with respect to the size of equity premium disappears as investment horizons get longer in terms of the spatial dominance; therefore, the adequate size of...

This paper proposes an estimation method for a partial parametric model with multiple integrated time series. Our estimation procedure is based on the decomposition of the nonparametric part of the regression function into homogeneous and integrable components. It consists of two steps: In the...

This paper shows that the nonlinear least squares estimator for unit root models has the limiting distribution free of nuisance parameters and is more efficient than the augmented Dickey-Fuller estimator when the sum of coefficients for lagged variables is negative.

To estimate the value of leisure time, this paper suggests the enodogenous switching model which incorporates individual's willingness to take more leisure time. The empirical results show that the value of leisure time in terms of willingly give-up shadow wage is greater than the market wage by...