We develop a numerical procedure that facilitates efficient likelihood evaluation in applications involving non-linear and non-Gaussian state-space models. The procedure employs continuous approximations of filtering densities, and delivers unconditionally optimal global approximations of...

We seek to quantify the success of Russia's attempt to achieve price-liberalization initiatives as part of the reforms established under the Big Bang of January 1992. We do so by studying the time-series behavior of commodity prices between 1992-1995 and focusing on the relationship between the...

We use a statistical model of commodity trade to measure the extent of integration between regional commodity markets within Russia. Monthly time-series data on regional commodity prices spanning 1994 through 1999 indicates substantial fluctuations in integration over this period: an initial...

In the process of implementing market reforms, many post-socialist countries have struggled to preserve economic and political integration. Using a statistical model of commodity trade, we quantify the evolution of economic integration observed among regions within Russia during 1995-1999, and...

We use a statistical model of commodity trade to measure the extent of integration between regional commodity markets within Russia. Monthly time-series data on regional commodity prices spanning 1994 through 1999 indicate substantial fluctuations in integration over this period: an initial...