Although the impact of structural breaks on testing for unit root has been studied extensively for univariate time-series, such impact on panel data unit root tests is still relatively unknown. A major issue is the choice of model in accommodating different types of break prior to testing for...

This paper analyzes the relevance of the inflation targeting (IT) policy in achieving its primary goal of medium-term price stability. Contrary to previous studies, we propose, in this work, a new approach; an intermediate approach that consists in conducting a time-series analysis (employed in...

How do you measure the structural similarity (difference) between economies? We follow an axiomatic approach in the paper answering this question. Our characterization of the measurement of structural difference between economies leads to some difference (similarity) index which is practically...

In empirical studies concerning comparison of economic structures and/or structural changes of economies, it is quite useful to employ an aggregate index to describe the structural difference (similarity). This paper offers an axiomatic characterization of the measurement of structural...

The rational expectation hypothesis is widely used in finance and macroeconomics. A natural research question comprises investigating whether models that use this hypothesis can fit the data well. Researchers have been developing econometric procedures to test rational expectation models....

Standard solution methods for linear rational expectations models assume a time-invariant structure. Recent work has gone beyond this by formulating solution methods for linear rational expectations models subject to structural changes, such as parameter shifts and policy reforms, that are...

Recent studies document the deteriorating performance of forecasting models during the Great Moderation, which conversely implies that forecastability was higher in the preceding era when the economy was unexpectedly volatile. We explain this phenomenon in the context of equilibrium...