The paper deals with the problem of identifying stochastic unobserved two-component models, as in seasonal adjustment …

strategies. This implies that our results remain valid for many different kinds of equilibrium concepts. The specification of our …

estimated regression parameters. This paper uses panel data in order to test the expectations hypothesis in the presence of time …

In this paper we introduce a unit root test for dynamic panel data models, allowing for cross … correlation and heteroscedasticity nuisance parameters. The paper examines the consequences of ignoring heteroscedasticity and …

This paper explains how the Gibbs sampler can be used to perform Bayesian inference on GARCH models. Although the Gibbs … available in regression models with GARCH errors. We show that the Gibbs sampler can be combined with a unidimensional …

The usual formulation of probit models includes, as endogenous variables, both continuous latent variables and binary … observable variables. The solution of simultaneous probit models involving only latent endogenous variables among the explanatory … variables is straightforward, provided the equations are identified. In contrast, simultaneous probit models in which the binary …