This paper discusses computationally efficient methods for exact maximum-likelihood estimation of parameters in state-space models. The proposed strategy is based on direct maximisation of the likelihood function, and it can be applied to a wide range of practical univariate and multivariate...

The literature on the optimal currency area weighs up the static gains in terms of lower transaction costs against the costs associated with adjusting asymmetric shocks when nominal exchange-rate movements are not possible. Endogenous growth theory and the new economic geography show that, in...

A recent advance in genetic computations is the heuristic prediction model (symbolic regression), which have received little statistical scrutiny. Diagnostic checks of genetically evolved models (GEMs) as a forecasting method are therefore essential. This requires assessing the statistical...

In the emerging age of electronic commerce, it is of paramount importance to design mechanisms that ensure timely and reliable transactions in cyberspace. This is an important problem given the bursty nature of Internet congestion, which leads to large variability in the risk and cost of...

Credit Rationing is a common feature of most developing economies. In response to it, the governments of these countries often operate extensive credit programs and lend, either directly or indirectly, to the private sector. We analyze the macroeconomic consequences of a typical government...

This paper investigates the influence of clean-up subsidies on the dynamics of models of production-environment interaction in continuous time. We show that complex dynamics can arise in the cases of socially optimal and decentralised solutions. Thus, it is possible that pollution can increase...

We examine a simple, abstract representation of a semi-closed system comprising agents and buffers. The agents are looked upon as processors moving mass (raw materials and products) between buffers (e.g. the atmosphere). The fundamental management challenge is to maintain the level of material...

Knowledge of the term structure (or yield curve) is undeniably important. It enables the price of a stream of cash flows to be determined. It is a key element for pricing certain types of derivative instruments. It is useful in the formation of economic policy. It can be used to calibrate the...

In this paper, we present a method for using rational expectations in a stochastic linear-quadratic optimization framework in which the unknown parameters are updated through a learning scheme. We use the QZ decomposition as suggested by Sims (1996) to solve the rational-expectations part of the...

In this paper, we build on previous work and analyze the economics of Internet companies in an agent-based model. Our goal is to understand how Internet markets develop over time. Our model has two types of agents: Internet companies and consumers. Internet companies produce web sites and...