This paper investigates whether postwar Canadian public financial policy satisfies a borrowing constraint. Direct tests of the present-value relation suggested by this constraint shed light on the sustainability of current policy. We examine monthly data on Canadian federal government finances...

We examine the finite-sample behavior of estimators of the order of integration in a fractionally integrated time-series model. In particular, we compare exact time-domain likelihood estimation to frequency-domain approximate likelihood estimation. We show that over-differencing is of critical...

This paper investigates the testable restriction on the time-series behavior of consumption and asset returns implied by a representative agent model in which intertemporal preferences are represented by utility functions that generalize conventional, time-additive, expected utility. The model...

The authors use a fractional difference model to reconcile two features of yields on U.S. government bonds with modern asset pricing theory: the persistence of the short rate and the variability of the long end of the yield curve. They suggest that this process might arise from the response of...

This paper develops a class of recursive, but not necessarily expected utility, preferences over intertemporal consumption lotteries. An important feature of these general preferences is that they permit risk attitudes to be disentangled from the degree of intertemporal substitutability....