The paper takes up Basesian inference in linear models with disturbances from a non-central Student-t distribution.

In this paper we assess, via Monte Carlo Simulations, the effects of some seasonal adjustment linear filters on cointegrating regressions. We find that the use of filters has adverse consequences in terms of the power of the Augmented Dickey and Fuller and Phillips and Perron tests of cointegration.

A Bayesian approach is presented for nonparametric estimation of an additive regression model with autocorrelated errors.

This paper is concerned with model selection based on penalized maximized log likelihood function. Its main emphasis is on how these penalities might be chosen in small samples to give good statistical properties.

This paper compares quasi Monte Carlo methods, in particular so-called (t,m,s)-Nets, with classical Monte Carlo approaches for simulating econometric time-series.

A number of variations of seven causality tests of the absence of causal ordering are examined. The various of the tests considered account not only for stationarity, but also for integratedness and/or contegratedness among the variables in the model.

The paper takes up Basesian inference in linear models with disturbances from a non-central Student-t distribution.

This paper presents a small macroeconometric model examining the determinants of Indian trade and inflation to address the effects of a reform policy package similar to those implemented in 1991. This is different from previous studies along one important dimension that we explicitly incorporate...

A Layard/Nickell imperfect competition model is used to derive the long-run Phillips Curve (LRPC).

We analyse the relative performance of the IMF, OECD and EC in forecasting the government deficit, as a ratio to GDP, for the G7 countries. Interesting differences across countries emerge, sometimes supporting the hypothesis of an asymmetric loss function (i.e. of a preferrence for...