This paper deals with the analysis of the Purchasing Power Parity (PPP) hypothesis in China by means of fractional integration or I(d) techniques. Using real exchange rates data between the Chinese Yuan and the US dollar, the results indicate that the estimated integration order d is generally...

We study an online scheduling problem on a single machine with delivery times. The problem is online in the sense that all jobs arrive over time. Each job's characteristics, such as processing time and delivery time, become known at its arrival time. Preemption is not allowed and once the...

In this paper, we study the initial-conditions problem, a complication associated with left-censored or interrupted spells in the econometric analysis of labor market transitions. In the presence of unobserved individual-specific heterogeneity, no consistent estimators have been previously...

It is now widely held that stock prices are too volatile to be optimal forecasts of future dividends discounted at a constant rate. Using the present value model with a constant discount rate, we show that when there is memory in the duration of dividend swings, the stock price can move in a...

In the econometric analysis of labor market transitions, the data generating process is often specified as a continuous-time semi-Markovian process with a finite state space. With typically short panel data, analysts have long been concerned with the initial conditions problem--- a complication...

Because they are scaled by price, the ability of size (i.e., the market capitalization of a firm) and the book-to-market equity ratio to determine expected returns may, according to Berk (1995), reflect only a simultaneity bias. The two-stage least squares approach is used to control for this...