A unit root test is usually carried out by using the regression test introduced by Dickey and Fuller (1979). Under the null hypothesis the series should be a random walk. But a non-stationary series can usually be decomposed into a random walk and a stationary component. This is what is done in...

We consider data on jewellery sold in English public auctions between June 1993 and May 1994 at Credit Municipal de Paris. We present the underlying model of this market derived from a "hedonic price equation".

Most confidence intervals, whether based on asymptotic theory or the bootstrap, are implicitly based on inverting a Wald test. Since Wald test statistics are not invariant under nonlinear reparametrizations of the restrictions they test, confidence intervals based on them are not invariant...

This paper explains how the Gibbs sampler can be used to perform Bayesian inference on GARCH models. Although the Gibbs sampler is usually based on the analytical knowledge of the full conditional posterior densities, such knowledge is not available in regression models with GARCH errors. We...

This paper discusses the influence of technological externalities on the dynamic properties of accumulation paths in a two-sector growth model in discrete time.

This paper considers the Bayesian analysis of threshold regression models. It shows that this analysis can be conducted with simple deterministic numerical integration rules of low dimension. The shape of the posterior density is greatly determined by the type of threshold and of transition...

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...

This paper analyzes variable-population social-evaluation principles in a framework where outcomes are uncertain. In a static model, we provide characterizations of expected-utility versions of Critical-Level Generalized Utilitarian rules.

A unit root test is usually carried out by using the regression test introduced by Dickey and Fuller (1979). Under the null hypothesis the series should be a random walk and a stationary component. This is what is done in additive decompositions between trend and cycle. The paper analyses the...

A geometrical setting is constructed, based on Hilbert space, in which the asymptotic properties of estimators can be studied. Estimators are defined in the context of parametrised models, which are treated as submanifolds of an underlying Hilbert manifold, on which a parameter-defining mapping...