A number of test statistics arising in econometrics can be expressed as a weighted ratio of quadratic forms in normal variables (ROQNV), but tractable expressions for computing their pdf and cdf do not exist. A numerical method for evaluating the cdf is given in Imhof (1961) but has the...

Recently, increasing attention is being devoted to interest rate rules that respond directly to economic forecasts rather than relying on current and past observations. Empirical studies suggest this 'forward-looking' rule provides a reasonable description of recent monetary policy in several...

Market participants, researchers and policy makers often use Federal funds futures as a proxy for the market's expectation of changes in monetary policy. This paper examines how well the Fed funds futures rate predicts changes in the Fed fund target rate relative to what the spot rate predicts....

This paper suggests a new methodological approach to the analysis of cointegrated linear systems subject to changes in regime. We consider cointegrated vector autoregressive processes where Markovian shifts occur in the equilibrium mean and the drift of the system. A two-stage maximum likelihood...

We present a theoretical view of computation, delineating what types of approximations are possible and what types are impossible. A practical consequence is an approximation algorithm with numerous applications. For several classical problems (finding maximizers, fixed points, equilibrium...

This study focuses on the widely observed phenomenon of leading and lagging areas in economic development. Trade may be a source of spread effects, which promote convergence where dichotomization could otherwise occur, or of backwash effects, which could exacerbate or even independently cause...

Using a measure of predictive stochastic complexity, this paper examines the complexity of two types of financial time series of several Pacific Rim countries, including 11 series on stock returns and 9 series on exchange-rate returns. Motivated by Chaitin's application of Kolmogorov complexity...

We formulate an optimizing-agent model in which both labor and product markets exhibit monopolistic competition and staggered nominal contracts. We demonstrate that the household's unconditional expected utility can be expressed in terms of the unconditional variances of the outgap gap,...

This paper shows that the recent literature that tests for a long-run Fisher relationship using cointegration analysis is seriously flawed. Cointegration analysis assumes that the variables in question are I(1) or I(d) with the same d. Using monthly post-war U.S. data from 1959-1997, we show...

This paper considers finite games in strategic form. It is shown that, when payoffs are computable, every game has a Nash equilibrium in which each player uses a strategy which is computable. There can, however, exist no algorithm that is guaranteed to find an equilibrium for every instance of a...