To capture location shifts in the context of model selection, we propose selecting significant step indicators from a saturating set added to the union of all of the candidate variables. The null retention frequency and approximate non-centrality of a selection test are derived using a...

We propose a new approach to deal with structural breaks in time series models. The key contribution is an alternative dynamic stochastic specification for the model parameters which describes potential breaks. After a break new parameter values are generated from a so-called baseline prior...

We assess the efficiency of monetary policy to guide inflation expectations in high and low regimes. Using quantile regression we analyze the persistence of inflation expectations from the Consensus Economics Survey at different quantiles. We find a) empirical evidence that expectations are not...

Introduction: In the past, economic analysis has not been widely used to detect cartels, according to the author’s literature review. By developing more effective methods to screen for collusion, competition authorities will be more successful in identifying collusion, which will lead to lower...

The volatility of growth in U.S. real GDP declined dramatically in the mid-1980s. Viewed through the lens of linear autoregressive models, this phenomenon appears to be the result of a structural break in the innovation process that drives GDP fluctuations. We present an alternative model that...

The domestic Chilean wine market is examined through the estimation of an error correction model allowing for structural breaks in the cointegrating vector. Our findings support both parameter instability and one structural break in the long-run relationship in 1982. The wine demand becomes more...

This paper extends previous studies in modeling and estimating demand for gasoline for Nigeria from 1977 to 2008. The ingenious attempt of this study, contrast to earlier studies on Nigeria and other developing countries, lies in its assumption of structural breaks in the long run relationship...

This paper extends previous studies in modeling and estimating energy demand functions for both gasoline and kerosene petroleum products for Nigeria from 1977 to 2008. In contrast to earlier studies on Nigeria and other developing countries, this study specifically tests for the possibility of...

We focus on the equilibrium unemployment rate as a parameter implied by a dynamic aggregate model of wage- and price setting. The equilibrium unemployment rate depends on institutional labour market institutions through mark-up coefficients. Compared to existing studies, the resulting final...