This paper presents the results of a Monte Carlo comparison of feasible GLS estimators of the trend parameter in the linear trend plus noise model, where the noise component may or may not be a unit root process. We include an FGLS estimator that estimates the noise component using a...

Presents a study on the decomposition of farmland prices in the United States. Theoretical background; Results; Discussion on the results.

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This article analyzes how asset prices respond to government announcements that are subject to error. In cases where government forecast errors are correlated with available market information, market agents will not respond to the government's preliminary announcements per se. Instead, they...

This paper investigates the long-run purchasing power parity hypothesis when exchange rate returns and inflation rates are assumed to be heavy-tailed stochastic processes. More specifically, residual-based and likelihood-ratio-based cointegration tests of PPP that explicitly allow for...

Inflation rates in a number of OECD follow a common trend over the past four decades: inflation starts out low in the 1960s, rises for a time before peaking in the 1970s or early 1980s, and then falls back to initial levels. This similarity in the behavior of trend inflation suggests that any...

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Empirical studies of the effects of the Federal Reserve's weekly money-supply announcements on interest rates have tended to find that interest-rate changes following these announcements are positively correlated with the anticipated component of the announcement. These studies also have tended...