The first two chapters of this thesis propose new time-series methods and apply them to macroeconomic problems, while the third chapter evaluates the predictions of a dynamic general equilibrium model. The first chapter develops a practical log-linear aggregation procedure, which is applied to...

We review key aspects of forecasting using nonlinear models. Because economic models are typically misspecified, the resulting forecasts provide only an approximation to the best possible forecast. Although it is in principle possible to obtain superior approximations to the optimal forecast...

For an economic system such as a nation, assessing the efforts of its constituent economic activities that are directed toward greater efficiency, which in aggregate determines the overall efficiency at the national level is important. Such an exercise provides information on which constituent...

This paper uses revealed preference inequalities to provide tight nonparametric bounds on consumer responses to price changes. Price responses are allowed to vary nonparametrically across the income distribution by exploiting microdata on consumer expenditures and incomes over a finite set of...

Price indices for heterogenous goods such as real estate or fine art constitute crucial information for institutional or private investors considering alternative investments in times of financial markets turmoil. Classical mean-variance analysis of alternative investments has been hampered by...

This paper applies revealed preference theory to the nonparametric statistical analysis of consumer demand. Knowledge of expansion paths is shown to improve the power of nonparametric tests of revealed preference. The tightest bounds on indifference surfaces and welfare measures are derived...

Given independent observations of the income or the expense variable of some population, with underlying distribution G, given a poverty line Z, we introduce a general form of poverty measures used by economists to monitor the welfare evolution of this population. This latter includes the most...

Given independent observations of the income or the expense variable of some population, with underlying distribution G, given a poverty line Z, we study the Kakwani class of poverty measures. This measure is one of the most important tools for monitoring poverty in Economics. Here, we complete...

In Germany, package holidays, which consist of a bundle of flight and accommodation services, are an important driver of consumer prices. Several challenges arise when measuring the price development of package holidays, for example the quality of accommodation, the timing of the booking, the...

Econometric studies for global heating have typically used regional or global temperature averages to study its long memory properties. One typical explanation behind the long memory properties of temperature averages is cross-sectional aggregation. Nonetheless, formal analysis regarding the...