We consider Johansen’s (1988, 1991) cointegration tests when a Vector AutoRegressive (VAR) process of order k is used to approximate a more general linear process with an infinite VAR representation. In this case, and in particular when a moving average component is present, traditional...

We consider the power properties of the CUSUM and CUSUM of squares tests in the presence of a one-time change in the parameters of a linear regression model. A result due to Ploberger and Krämer (1990) is that the CUSUM of squares test has only trivial asymptotic local power in this case, while...

In summary, the most important lacuna of existing theoretical incentive-based literature is that it focuses on costs rather than the benefits of delegation. The latter are difficult to incorporate into traditional contract theory. Perhaps the most important benefit of delegation is the...

You must be very excited, ready to start your Ph.D. program here in Bergen. To many of you this will be an important milestone. It should be. Undertaking a Ph.D. study is not a trivial matter, and I hope that you do take this seriously. I have been asked to address you on matters concerning...

Aggregate consumption growth risk explains why low interest rate currencies do not appreciate as much as the interest rate di®erential and why high interest rate currencies do not depreciate as much as the interest rate di®erential. We sort foreign currency returns into portfolios based on...

We investigate estimation and inference in difference in difference econometric models used in the analysis of treatment effects. When the innovations in such models display serial correlation, commonly used ordinary least squares (OLS) procedures are inefficient and may lead to tests with...

We consider an endogenous growth model in which appropriate organization fosters innovation, but because of contractibility problems, this benefit cannot be internalized. The organizational design element we focus on is the division of labor, which as Adam Smith argued, facilitates invention by...

We propose a model that combines statistical discrimination and educational sorting that explains why blacks get more education than do whites of similar cognitive ability. Our model explains the di¤erence between blacks and whites in the relations between education and AFQT and between wages...

This paper presents a search model of centralized and decentralized trade. In a centralized market, trades are intermediated by market makers at publicly posted bid–ask prices. In a decentralized market, traders search counterparties. Prices are negotiated and transactions are conducted in...

State-dependent pricing (SDP) models treat the timing of price changes as a profit-maximizing choice, symmetrically with other decisions of firms. Using quantitative general equilibrium models that incorporate a “generalized (S,s) approach,” we investigate the implications of SDP for topics...