Recently Wang and Wirjanto (1997) proposed a simple dynamic model to study the optimal timing strategy for an individual's migration decision, using the theory of the optimal timing of investment under uncertainty, reviewed in Dixit (1992), Dixit and Pindyck (1994), and Pindyck (1991). It is...

This paper tests the prediction of the Permanent Income Hypothesis (PIH) that news about future income induce a revision in consumption equal to the revision in permanent income. We use time-series data from 48 contiguous US states to perform the test. The empirical results provide some support...

There is substantial empirical literature which examines the relationship between private and public consumption. The conclusions from this literature, however, are generally mixed. In this paper, we attempt to provide some additional evidence on this relationship. We consider a two-good...

Volatility clustering is a well-known stylized feature of financial asset returns. In this paper, we investigate the asymmetric pattern of volatility clustering on both the stock and foreign exchange rate markets. To this end, we employ copula-based semi-parametric univariate time-series models...

Selecting an estimator for the variance covariance matrix is an important step in hypothesis testing. From less robust to more robust, the available choices include: Eicker/White heteroskedasticity-robust standard errors, Newey and West heteroskedasticity-and-autocorrelation- robust standard...

This paper investigates whether convenience yield is an important factor in determining optimal decisions for a forestry investment. The Kalman filter method is used to estimate three different models of lumber prices: a mean reverting model, a simple geometric Brownian motion and the two-factor...

In this paper we introduce resampling techniques to a multi-layer feed-forward neural network model for noisy financial time series in order to obtain more reliable interval forecasts of the time series along with a large amount of statistical information associated with the observed data. In...