Okun's Law postulates an inverse relationship between movements of the unemployment rate and the real gross domestic product (GDP). Empirical estimates for US data indicate that a two to three percent GDP growth rate above the natural or average GDP growth rate causes unemployment to decrease by...

We study the empirical behaviour of semi-parametric log-periodogram estimation forlong memory models when the true process exhibits a change in persistence. Simulationresults confirm theoretical arguments which suggest that evidence for long memory islikely to be found...

Recent developments in the oil and gas industry suggest that investment behaviour is not necessarilychangeless over time. We propose a micro-econometric procedure to investigate the stability ofinvestment behaviour. Applying system GMM methods on a panel data set for 253 oil and gas...

The literature shows that for most UK industries privatization might be necessary but is not sufficient to produce economic benefits. Often prior changes in management or later changes in market structure and regulation have larger impacts than privatization itself. We ask what changes around...

Recent work on U.S. data calls into question the ability of simple Phillips curvemodels to forecast inflation. This paper asks whether there is similar evidence of abreakdown in the forecasting ability of Phillips curve models in other OECD countries.The results suggests that the ability of a...

A test for the cointegrating rank of a vector autoregressive (VAR) process with a possible shift and broken linear trend is proposed. The break point is assumed to be known. The setup is a VAR process for cointegrated variables. The tests are not likelihood ratio tests but the deterministic...

In this paper, we examine the dynamic behavior of credit spreads on corporate bond portfolios. We propose an econometric model of credit spreads that incorporates portfolio rebalancing, the near unit root property of spreads, the autocorrelation in spread changes, the ARCH conditional...