Models use for natural resources prices usually preclude the possibility of large changes (jumps) resulting from discrete, unexpected events. To test for the presence of jumps and ARCH effects, we propose to use bounds and bootstrap test techniques, thus solving the unidentified nuisance...

In this paper we test for (Generalized) AutoRegressive Conditional Heteroskedasticity [(G) ARCH] in daily and weekly data on 22 exchange rates and 13 stock market indices using the standard Lagrange Multiplier [LM] test for GARCH and a new LM test that is resistant to additive outliers. The data...

The detection of dangerous road sites is usually performed using empirical methods which focus on observed accident frequencies and/or proportions of accidents with a given feature. The most widely used detection tools have an empirical Bayes (EB) background. The EB approaches rely on the...

We develop regression-based tests of hypotheses about out of sample prediction errors. Representative tests include ones for zero mean and zero correlation between a prediction error and a vector of predictors. The relevant environments are ones in which predictions depend on estimated...

In a recent paper, Chang, Gomes, and Schorfheide (2002) extend the standard real business cycle (RBC) model to allow for a learning-by-doing (LBD) mechanism whereby current labour supply affects future productivity. They show that this feature magnifies the propagation of shocks and improves the...

Complicated (chaotic), global, expectations-driven business cycles in two-dimensional models have been shown to involve non-trivial intersections of stable and unstable manifolds of a (periodic) saddle steady state. Whether similar phenomena may occur in other two-dimensional dynamic economic...

When firms attempt to manage their earnings disclosures by presenting evidence selectively, sophisticated inference on the part of financial market participants entails a positive association between the market to bood ratio of a firm and the skewness of the distribution of its announced...

Spectral analysis at frequencies other than zero plays an increasingly important role in econometrics. A number of alternative automated data-driven procedures for nonparametric spectral density estimation have been suggested in the literature, but little is known about their finite-sample...

The Rational Addiction Model of Becker and Murphy (1988) has become a standard tool in the analysis of the demand for drugs, cigarettes, alcohol and other potentially addictive goods. In this paper, we shall argue that the success of the model has been more apparent than real, and that its...

In this paper we propose a new test procedure with more general steady state information to test the convergence hypothesis for a specific economy. We consider a model where demeaned per capita output of an economy is a function of time trend and then set the convergence hypothesis as negative...