Using Bayesian methods, we estimate a small open economy model for Sweden. We explicitly account for a monetary regime change from an exchange rate target zone to flexible exchange rates with explicit inflation targeting. In each of these regimes, we analyze the behavior of the monetary...

La présente recherche a pour objectif de montrer que la question de l’intégration ne concerne pas seulement les immigrés et leurs descendants, mais tous les individus d’une société, même ceux dépourvus de lien direct avec l’immigration. Cela revient à étudier la stratification...

The paper develops an easy-to-apply test for contagion. In order to address the main challenge of any contagion test, that of endogeneity, the testing is conducted in the structural vector autoregression (SVAR) framework where we assume the reduced form errors follow a mixed-normal distribution....

Examining the identification problem in the context of a linear econometric model can be a tedious task. The order condition of identifiability is an easy condition to compute, though difficult to remember. The application of the rank condition, due to its complicated definition and its...

The most common approach for default dependence modelling is at present copula functions. Within this framework, the paper examines factor copulas, which are the industry standard, together with their latest development, namely the incorporation of sudden jumps to default instead of a pure...

This paper suggests a new approach for estimating linear and non-linear dynamic term structure models with latent factors. We impose no distributional assumptions on the factors which therefore may be non-Gaussian. The novelty of our approach is to use many observables (yields or bond prices) in...

This paper considers issues related to identification, inference and computation in linearized Dynamic Stochastic General Equilibrium (DSGE) models. We first provide a necessary and su¢ cient condition for the local identification of the structural parameters based on the (first and) second...

This article reviews a number of recent contributions to estimation and inference for models defined by moment condition restrictions. The particular emphasis is on the generalized empirical likelihood class of estimators as an alternative to the generalized method of moments. Estimation methods...

The study measures farm level technical efficiency among paddy farmers of Hailakandi district of Assam on the basis of farm level primary data of 265 cultivators for the peak cropping season of 2009-10. A translog stochastic production frontier is estimated and selected non-input factors are...

This paper uses multilevel factor models to characterize within- and between-block variations as well as idiosyncratic noise in large dynamic panels. Block-level shocks are distinguished from genuinely common shocks, and the estimated block-level factors are easy to interpret. The framework...