During the post-1990 period, services sector in most of the Asian economies witnessed growth fuelled by substantial changes in the financial sector of these economies. The insurance industry, in most of the Asian economies, ASEAN and SAARC economies in particular, was publicly owned and remained...

During the post-1990 period, services sector inmost of the Asian economies witnessed growth fuelled by substantial changes in the financial sector of these economies. The insurance industry, in most of the Asian economies, ASEAN and SAARC economies in particular, was publicly owned and remained...

This article concerns parameter estimation for general state space models, following a frequentist likelihood-based approach. Since exact methods for computing and maximizing the likelihood function are usually not feasible, approximate solutions, based on Monte Carlo or numerical methods, have...

This paper proposes a unified state-space formulation for parameter estimation of exponential-affine term structure models. This class of models, charaterized by Duffie and Kan (1993), contains models such as Vasicek (1977), Cox, Ingersoll and Ross (1985) and Chen and Scott (1992), among others....

This paper analyzes the time-varying parameter vector autoregressive (TVP-VAR) model for the Japanese economy and monetary policy. The time-varying parameters are estimated via the Markov chain Monte Carlo method and the posterior estimates of parameters reveal the time-varying structure of the...

We use the Stock and Wise approximation of stochastic dynamic programming in order to identify the extent to which profitability can explain exit behavior. In our econometric model, heterogeneous firms engage in Bertrand (price) competition. Firms produce heterogeneous products, using labor,...

Mediation is a causal process that evolves over time. Thus, a study of mediation requires data collected throughout the process. However, most applications of mediation analysis use cross-sectional rather than longitudinal data. Another implicit assumption commonly made in longitudinal designs...

Several central banks have adopted inflation targets. The implementation of these targets is flexible; the central banks aim to meet the target over the long term but allow inflation to deviate from the target in the short-term in order to avoid unnecessary volatility in the real economy. In this...